Quantitative Risk Management Specialist

3 weeks ago

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

The Risk Management Department plays a crucial role in the sustainable growth of Societe Generale by providing expertise, risk understanding, and risk management techniques. The department's mission is to analyze, assess, manage, and monitor risk-taking activities to achieve the best possible outcome for the bank. The department oversees various risks, including enterprise, strategic, credit, market, liquidity, operational, model, and other risks of corporate and investment banking business activities.

Job Summary

We are seeking a highly skilled Quantitative Risk Management Specialist to join our Model Risk Management (MRM) team. The successful candidate will be responsible for executing independent reviews of business models under US and Canada regulations, working closely with cross-functional teams, including business stakeholders, model developers, model validators, IT, and auditors. The role involves assessing model design and conceptual soundness, verifying data quality, reviewing model architecture, performing backtesting, benchmarking, and sensitivity analysis, and evaluating governance aspects.

Key Responsibilities
  • Conduct independent reviews of business models under US and Canada regulations
  • Assess model design and conceptual soundness through quantitative analyses, statistical tests, and challenger models
  • Verify data quality and consistency
  • Review and replicate model architecture to ensure computational accuracy and correct implementation
  • Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy
  • Evaluate governance aspects and assess overall model risk
  • Collaborate with front-office staff, model developers, and risk managers to review models
Requirements
  • Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM
  • Minimum 3 years of experience in model development, validation, or a front-office quant role
  • Strong programming skills in Python, R, C++, or similar
  • Advanced knowledge of statistics, econometrics, and machine learning
  • Experience working with large datasets and quantitative analysis
  • Excellent written and verbal communication skills
  • Familiarity with model risk management practices and regulatory requirements
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
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program
  • Various Employee Resource Groups (ERG) to engage with
  • A culture of continuous development by encouraging employees to various training programs
About Our Culture

We value diversity and inclusion, and our mission is to recruit, develop, advance, and retain a diverse workforce that is united in our efforts to enhance our competitive position and deliver innovative solutions to our clients. We offer a hybrid work arrangement that provides employees with the flexibility to work remotely and on-site.

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