Quantitative Risk Analyst, Model Governance Specialist
3 weeks ago
The SGS Societe Generale de Surveillance SA Risk Management Department plays a crucial role in ensuring the sustainable growth of the organization by identifying and mitigating potential risks. As part of this team, you will be responsible for overseeing model risk management, including designing and implementing effective risk management systems.
In this role, you will work closely with cross-functional teams, including business stakeholders, model developers, validators, IT, and auditors to ensure that models are thoroughly reviewed and validated. You will also be responsible for presenting validation analysis to senior management.
Key Responsibilities:- Model Review: Conduct independent assessments of model design and conceptual soundness through quantitative analyses, statistical tests, and challenger models.
- Data Quality: Verify the quality and consistency of data inputs, transformations, and outputs using advanced statistical techniques.
- Model Replication: Review and replicate model architecture to ensure 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 and recommend adjustments or redevelopment based on changes in market conditions, products, or clients.
- Model Governance: Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
- Communication and Reporting: Draft detailed validation reports and communicate findings to stakeholders.
To succeed in this role, you will need:
- Education: A Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM, with a Master's or PhD preferred.
- Experience: At least 3 years of experience in model development, validation, or a front-office quant role, with 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.
We offer an estimated salary of $140,000 - $180,000 per year, depending on experience. This is a competitive compensation package that reflects the importance of this role in our organization. We also offer a range of benefits, including health insurance, retirement savings plans, and paid time off. Due to US Federal Securities law, candidates who apply for this position will be required to submit to an enhanced background screening, including fingerprint collection by a third-party vendor selected by the Financial Industry Regulatory Authority (FINRA).
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