Quantitative Risk Model Specialist
1 week ago
Societe Generale de Surveillance SA is a leading global financial institution that provides innovative solutions for our clients. Our mission is to deliver exceptional services and support the growth of our customers.
We are committed to fostering a collaborative and inclusive work environment where our employees can thrive and reach their full potential. We offer competitive compensation packages, including an estimated salary range of $120,000 - $180,000 per annum, commensurate with experience.
Job DescriptionThe Quantitative Risk Model Specialist will play a critical role in our Risk Management Department. This individual will be responsible for conducting independent model reviews of relevant models employed in SG Americas at all stages of their lifecycle.
Key Responsibilities:
- Assess model conceptual soundness to ensure consistency of model design by performing quantitative analyses and statistical tests, developing challenger models for benchmarking, and challenging theoretical aspects considering published research and industry practice.
- Work with large, complex datasets to verify data input quality and processing, model output accuracy, and assess data quality and consistency between data characteristics and modeling assumptions.
- Replicate and review model architecture to verify computational accuracy of a model and ensure correct implementation.
- Analyze model output through backtesting, benchmarking, sensitivity analysis using quantitative tools and techniques.
- Review model ongoing monitoring to ensure changes in products, exposures, activities, clients, or market conditions trigger adjustment, redevelopment, or replacement of the model.
- Evaluate model governance aspects such as model change management, ongoing monitoring, and inherent and residual model risk assessment.
To succeed in this role, you will need:
- Bachelor's degree (Master's or PhD preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM.
- Minimum 3 years' experience in model development, validation, or a front-office quant role; fewer years accepted with a PhD.
- Strong programming skills in Python, R, C++, or similar, with advanced knowledge of statistics, econometrics, and machine learning.
- Experience working with large datasets and quantitative analysis.
- Excellent written and verbal communication skills for working with both technical and non-technical staff.
- Familiarity with model risk management practices and regulatory requirements.
You must be proficient in English, both orally and in writing, as this position requires regular collaboration with colleagues and partners in the United States.
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