Quantitative Model Risk Manager
5 days ago
The Risk Management Department plays a vital role in the sustainable growth of Societe Generale, leveraging its expertise to understand and manage risks. As part of this team, you will analyze, assess, and monitor risk-taking activities to achieve optimal outcomes for the bank.
The Model Risk Management (MRM) team is responsible for overseeing model risk management within SG CIB's Risk Management function. Your primary duties will include:
Main Responsibilities- Designing and maintaining SG America's model risk management system, ensuring consistency and regulatory compliance.
- Managing the model approval process, monitoring models' performance, and reviewing the MRM framework on an ongoing basis.
In collaboration with Senior Quantitative Advisors, your responsibilities will also include:
Key Tasks- Model Review: Conduct quantitative analyses, statistical tests, and develop challenger models for benchmarking to assess model design and conceptual soundness.
- Data Quality: Verify data inputs, transformations, and outputs using advanced statistical techniques to ensure quality and consistency.
- Model Replication: Review and replicate model architecture to guarantee computational accuracy and correct implementation.
- Output Analysis: Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
- Ongoing Monitoring: Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions.
- Model Governance: Evaluate governance aspects, including change management and ongoing monitoring.
- Collaboration: Work closely with front-office staff, model developers, and risk managers to review models and address remediation efforts.
To excel in this role, you must possess the following skills and qualifications:
Required Skills and Qualifications- Education: A Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM; a Master's or PhD is preferred.
- 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 languages, 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.
We offer a competitive salary range of $120,000 - $180,000 per year, depending on experience, along with a comprehensive benefits package. Our hybrid work environment offers flexibility and work-life balance. If you are passionate about model risk management and have the required skills and qualifications, we encourage you to apply.
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