Quantitative Risk Specialist
1 week ago
The Quantitative Advisor will play a vital role in the development and maintenance of the continuous model monitoring (CMM) framework at SGS Société Générale de Surveillance SA. This framework is designed to assess the models' performance, effectiveness of the Model Risk Management (MRM) framework, and the model business environment on an ongoing basis.
As part of the MRM team embedded within the Risk Management function in SG CIB, the Quantitative Advisor will participate in reviewing metrics and breaches with front-office staff, model developers, model validators, IT services, and risk managers. The successful candidate will have strong analytical skills and experience working with large datasets and quantitative analysis.
Key responsibilities include:
- Metrics design and implementation: Develop and implement metrics aimed to monitor model performance within the scope of the Quantitative Advisor's responsibilities.
- Documentation: Draft business requirements for metric implementation to support teams and detailed descriptions of metric calculation methodologies.
- Analysis of the metrics results and breach management: Liaise with first-line defense teams and validation teams in management reporting on model risk evolution and remediation actions.
- Data Quality: Maintain data quality and consistency across different systems and management reporting tools used by MRM.
- Model risk identification and assessment:
- Collaboration: Work closely with cross-functional teams to review metrics and breaches.
The ideal candidate will possess a Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or Mathematics, along with minimum 2 years of experience in model development, validation, or a front-office quant role. Strong programming skills in Python and SQL are required, with excellent knowledge of Business Intelligence tools and Microsoft Office. Familiarity with model risk management practices and US regulatory requirements is a plus. Excellent written and verbal communication skills are essential for collaboration with technical and non-technical staff.
Salary: $120,000 - $180,000 per year, depending on experience.
We offer a comprehensive benefits package, including health insurance, retirement savings plan, paid time off, and opportunities for professional growth and development. Due to US Federal Securities law, candidates must submit to an enhanced background screening.
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