Quantitative Risk Modeling Expert

1 week ago


Montreal, Quebec, Canada SGS Société Générale de Surveillance SA Full time
Overview

The Risk Management Department plays a pivotal role in Societe Generale's sustainable growth by leveraging its expertise, risk understanding, and management techniques. The department's mission is to independently analyze, assess, manage, and monitor risk-taking activities with the aim of achieving optimal outcomes for the bank. This includes overseeing enterprise, strategic, credit, market, liquidity, operational, model, and other risks associated with corporate and investment banking business activities.

Job Description

We are seeking a Quantitative Risk Modeling Expert to join our Model Risk Management (MRM) team within the Risk Management function in SG CIB. As a member of this team, you will be responsible for the second line of defense for model risk and supervising the model risk management function for the SG America regions (US, Canada, and Latin America). Key responsibilities include:

  • Overseeing the design of the SG America's model risk management system, ensuring consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process within the scope of responsibility.
  • Maintaining ongoing monitoring of models' performance, effectiveness of the MRM framework, and the model business environment.

You will collaborate closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and support functions. Your contributions will ensure the development and maintenance of the continuous model monitoring (CMM) framework to assess models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.

Required Skills and Qualifications

To succeed in this role, you must possess:

  • A Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM; a Master's or PhD is preferred.
  • Minimum 3 years of experience in model development, validation, or a front-office quant role; fewer years accepted with a PhD.
  • Strong programming skills in Python, R, C++, or similar languages, with advanced knowledge of statistics, econometrics, and machine learning.
  • Experience working with large datasets and quantitative analysis.
  • Excellent written and verbal communication skills for collaboration with technical and non-technical staff.
  • Familiarity with model risk management practices and regulatory requirements.
Benefits

Societe Generale offers a comprehensive package of benefits, including:

  • A competitive salary range: $120,000 - $160,000 per annum, based on qualifications and experience.
  • Health spending ($2,000/year) and personal spending ($1,000/year) accounts with 75+ eligible reimbursement categories.
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program.
  • A culture of continuous development through various training programs.
  • Diversity & Inclusion Mission that promotes a hybrid work arrangement offering flexibility to work remotely or on-site.


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