Quantitative Risk Model Validator
1 month ago
About the Role:
The Risk Management Department at SGS Société Générale de Surveillance SA plays a crucial role in the sustainable growth of the company through its expertise, understanding of risks, and risk management techniques. The department's mission is to independently analyze, assess, manage, and monitor risk-taking activities with the objective of achieving the best possible outcome for the bank.
The Model Risk Management (MRM) team, embedded within the Risk Management function, oversees model risk management. MRM is responsible for the second line of defense for model risk and supervises the model risk management function for the SG Americas regions (US, Canada, and Latin America). In this respect, MRM notably oversees the SG America's governance for model risk and conducts the independent review of the models in its scope.
In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Advisor will:
- Conduct independent model review of relevant models that are employed in SG Americas at all stages of their lifecycle by:
- Assessing model conceptual soundness to ensure the consistency of model design by performing quantitative analyses and statistical tests, developing challenger models for benchmark, and challenging the theoretical aspects considering published research and industry practice.
- Working with large, complex datasets to verify data input quality and processing, model output accuracy. Assessing data quality and consistency between data characteristics and modeling assumptions.
- Replicating and reviewing model architecture to verify the computational accuracy of a model and ensure correct implementation.
- Analyzing model output through backtesting, benchmarking, sensitivity analysis by using quantitative tools and techniques.
- Reviewing model ongoing monitoring to ensure that changes in products, exposures, activities, clients, or market conditions trigger adjustment, redevelopment, or replacement of the model.
- Evaluating model governance aspects such as model change management, ongoing monitoring, and inherent and residual model risk assessment.
Key Responsibilities:
- Model Review and Validation
- Data Analysis and Quality Control
- Model Architecture and Implementation
- Model Output Analysis and Sensitivity Testing
- Model Governance and Risk Assessment
Requirements:
- Education: Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
- Experience: Minimum 3 years in model development, validation, or a front-office quant role; fewer years accepted with a PhD.
- Technical Proficiency: Strong programming skills in Python, R, C++, or similar, with advanced knowledge of statistics, econometrics, and machine learning.
- Data Management: Experience working with large datasets and quantitative analysis.
- Communication: Excellent written and verbal communication skills for working with both technical and non-technical staff.
- Model Risk: Familiarity with model risk management practices and regulatory requirements.
Language Skills: French and English
Ability to communicate in English, both orally and in writing, is a requirement as the person in this position will need to collaborate regularly with colleagues and partners in the United States.
Benefits:
- Minimum of 20 Vacation days + 4 personal days
- Supportive Maternity, paternity, parental and adoption leave policy
- Health spending ($2,000/year) and personal spending ($1,000/year) accounts with 75+ eligible reimbursement categories (health, training, electronics etc.)
- Fully sponsored virtual healthcare assistance and Employee Assistance Program to you and your immediate family
- Various Employee Resource Groups (ERG) to engage with such as Pride and Allies, American Women Network, Black Leadership Network, One planet, etc.
- A culture of continuous development by encouraging our employees various training programs (online training and coaching platform such as Coursera, GoFluent, Pluralsight, First Finance, and others)
About Our Culture:
Diversity & Inclusion:
Our Diversity & Inclusion Mission: Recruit, develop, advance, and retain a diverse workforce that is united in our efforts to enhance our competitive position and deliver innovative solutions to our clients.
Hybrid Work Environment:
Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely, as well as on-site, in order to promote interaction and collaboration with colleagues while adhering to all SG standard protocols.
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