Quantitative Risk Specialist

1 month ago

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

The Risk Management Department plays a vital role in the sustainable growth of SGS Société Générale de Surveillance SA 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 oversees model risk management as the second line of defense within the Risk Management function in SG CIB. MRM is responsible for supervising the model risk management function for the SGS Société Générale de Surveillance SA regions. In this respect, MRM notably oversees the governance for model risk and conducts independent reviews of models in its scope.

Key tasks include designing the model risk management system, managing the model approval process, monitoring models' performance, and ensuring adherence to regulatory requirements.

This Quantitative Risk Specialist - Model Validation will participate in the development and maintenance of the continuous model monitoring framework. They will collaborate with Senior Quantitative Advisors and the team Manager to conduct independent model reviews, assessing conceptual soundness through quantitative analyses and statistical tests, and verifying data input quality and model output accuracy.

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 both technical and non-technical staff.
  • Model Risk: Familiarity with model risk management practices and regulatory requirements.

We estimate the salary for this position to be around $120,000 per year, depending on location and experience. Benefits include a minimum of 20 vacation days, supportive maternity and parental leave policy, health spending accounts, virtual healthcare assistance, and employee resource groups.

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