Quantitative Risk Analyst for Model Validation
2 weeks ago
Societe Generale's Risk Management Department plays a crucial role in the bank's sustainable growth by leveraging its expertise and risk management techniques. The team'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. They oversee various risks including model risk, enterprise risk, strategic risk, credit risk, market risk, liquidity risk, operational risk, and other corporate and investment banking business activities.
Job Description
The Quantitative Advisor will work closely with cross-functional teams, including business stakeholders, model developers, model validators, IT, and auditors, to execute independent reviews of business models under US and Canada regulations. This role requires excellent communication skills, as the advisor will need to present validation analysis to senior management and collaborate regularly with colleagues and partners in the United States. The successful candidate will be exposed to a variety of models used by the business and support functions, including credit risk and financial crime compliance models.
Main Responsibilities:
- Independently assess model design and conceptual soundness through quantitative analyses, statistical tests, and developing challenger models for benchmarking.
- Verify the quality and consistency of data inputs, transformations, and outputs using advanced statistical techniques to address complex datasets.
- Review and replicate model architecture to ensure computational accuracy and correct implementation.
- Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
- Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions, products, or clients.
- Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
- Draft detailed validation reports and communicate findings to stakeholders, including management and business partners.
Required Skills and Qualifications:
This role requires a minimum 3 years of experience in model development, validation, or a front-office quant role; fewer years accepted with a PhD. The ideal candidate will possess a strong programming background in Python, R, C++, or similar languages, with advanced knowledge of statistics, econometrics, and machine learning. Experience working with large datasets and quantitative analysis is also essential. Strong communication and collaboration skills are required to effectively work with technical and non-technical staff.
Salary and Benefits
We offer a competitive salary range of $100,000 - $150,000 per annum, depending on experience, plus a comprehensive benefits package that includes at least 20 vacation days, supportive maternity, paternity, parental, and adoption leave policy, health spending accounts, personal spending accounts, employee resource groups, and a culture of continuous development through training programs. We also provide a hybrid work environment that offers flexibility to work remotely or on-site, promoting interaction and collaboration with colleagues while adhering to all Societe Generale standard protocols.
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Montreal, Quebec, Canada SGS Société Générale de Surveillance SA Full timeAs a leading global financial institution, SGS Societe Generale de Surveillance SA seeks a highly skilled Quantitative Risk Analyst to join our Model Risk Management team in SG America. This is an exciting opportunity to contribute to the development and maintenance of our continuous model monitoring framework.About UsSociete Generale is a leading European...
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