Quantitative Risk Management Specialist, Americas
1 week ago
The Risk Management Department at SGS Societe Generale de Surveillance SA plays a crucial role in the sustainable growth of the company 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.
Our Model Risk Management (MRM) team oversees model risk management as part of the second line of defense. This involves supervising the model risk management function for the SG America regions, which includes the US, Canada, and Latin America. In this capacity, MRM ensures that the SG America governance framework for model risk is consistent and compliant with regulatory requirements.
The Quantitative Advisor will execute an independent review of business models under both US and Canada regulations while working closely with cross-functional teams, including business stakeholders, model developers, model validators, IT, and auditors. Presentation of validation analysis to senior management is also within the scope of this role.
Key Responsibilities- Model Review: Conduct independent assessments of model design and conceptual soundness by performing quantitative analyses, statistical tests, and developing challenger models for benchmarking.
- 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 based on changes in market conditions.
- Model Governance: Evaluate governance aspects, including change management and ongoing monitoring.
- Collaboration: Work closely with front-office staff, model developers, and risk managers to review models.
- Education: A Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM is required. A Master's or PhD is preferred.
- Experience: Minimum 3 years of experience in model development, validation, or a front-office quant role are required. Fewer years may be accepted with a PhD.
- Technical Proficiency: Strong programming skills in Python, R, C++, or similar languages are essential, along with advanced knowledge of statistics, econometrics, and machine learning.
- Data Management: Experience working with large datasets and quantitative analysis is necessary.
- Communication: Excellent written and verbal communication skills are required for working with both technical and non-technical staff.
- Model Risk: Familiarity with model risk management practices and regulatory requirements is essential.
- Additional Skills: Experience with credit risk or compliance risk models is desirable.
- A competitive salary of $120,000 per annum.
- A minimum of 20 vacation days plus 4 personal days.
- Supportive maternity, paternity, parental, and adoption leave policies.
- 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 through various training programs.
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