Quantitative Risk Management Specialist
1 month ago
The Risk Management Department plays a crucial role in the sustainable growth of the Societe Generale group by leveraging its expertise, understanding of risks, and risk management techniques. The department's mission is to independently analyze, assess, manage, and monitor risk-taking activities to achieve the best possible outcome for the bank. The department oversees enterprise, strategic, credit, market, liquidity, operational, model, and other risks associated with corporate and investment banking business activities.
Job SummaryThe Quantitative Advisor will be responsible for participating in the development and maintenance of the continuous model monitoring (CMM) framework to assess model performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements. The successful candidate will work closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and support functions.
Key Responsibilities- Design and implement metrics to monitor model performance in the model scope, including production automation and reporting.
- Implement metrics and reporting dashboards for monitoring the effectiveness of the MRM framework in collaboration with the team responsible for overall MRM framework, policies, and procedures.
- Analyze metrics results and breach management: liaison with the first line of defense and validation teams in management reporting on model risk evolution and remediation actions.
- Maintain data quality and consistency across different systems and management reporting tools used by MRM. Monitor changes in the model portfolio, including model validation/approval status and execution of the model review plan.
- Design/maintain the scoring process for the model portfolio annual assessment and manage the execution of the process in collaboration with the MRM management team.
- Collaborate with front-office staff, model developers, model validators, IT services, and risk managers to review metrics, breaches, and contribute to their remediation efforts.
- Bachelor's degree (Master's preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, Engineering, or Mathematics.
- Minimum 2 years of experience in model development, validation, or a front-office quant role.
- Strong analytical skills. Strong programming skills in Python and SQL (any other language is a plus), excellent knowledge of BI tools / Microsoft Power BI (preferred) and Microsoft Office.
- Experience working with large datasets and quantitative analysis.
- Familiarity with model risk management practices and US regulatory requirements (SR-1107) is a plus.
- Excellent written and verbal communication skills for working with both technical and non-technical staff.
English is the primary language for this role, and the ability to communicate in English, both orally and in writing, is a requirement as the person in this position will need to collaborate regularly with colleagues and partners in the United States.
Benefits- Minimum of 20 Vacation days + 4 personal days
- Supportive Maternity, paternity, parental, and adoption leave policy
- Health spending ($2,000/year) and personal spending ($1,000/year) accounts with 75+ eligible reimbursement categories (health, training, electronics, etc.)
- Fully sponsored virtual healthcare assistance and Employee Assistance Program to you and your immediate family
- Various Employee Resource Groups (ERG) to engage with such as Pride and Allies, American Women Network, Black Leadership Network, One planet, etc.
- A culture of continuous development by encouraging our employees various training programs (online training and coaching platform such as Coursera, GoFluent, Pluralsight, First Finance, and others)
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