Quantitative Risk Advisory Expert

7 days ago


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

The Risk Management Department at Societe Generale de Surveillance SA contributes to the bank’s sustainable growth 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.

As a Quantitative Risk Advisory Expert, you will be responsible for the second line of defense for model risk and will oversee the model risk management function for the SG CIB Americas. Your main tasks will include:

  • The design of the SG CIB Americas’ model risk management system, as well as its consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process within the scope of the role.
  • Monitoring of the models’ performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.

In this role, you will participate in the development and maintenance of the continuous model monitoring (CMM) framework. This includes conducting independent model reviews of relevant models by assessing model conceptual soundness through quantitative analyses and statistical tests, working with large datasets to verify data input quality and processing, analyzing model output through backtesting and sensitivity analysis, and reviewing ongoing monitoring to ensure necessary adjustments to models.

Must Have:

  • Education: Bachelor’s degree 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 and machine learning.
  • Data Management: Experience working with large datasets.
  • Model Risk: Familiarity with model risk management practices.
  • Additional Skills: Experience with market risk, counterparty risk, or algorithmic trading models.
Languages: French and English. Ability to communicate in English, both orally and in writing, is a requirement.

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