Quantitative Risk Management Specialist
2 days ago
As a Quantitative Risk Management Specialist at SGS Société Générale de Surveillance SA, you will play a critical role in ensuring the accuracy and effectiveness of our risk management models.
The Risk Management Department is responsible for analyzing, assessing, managing, and monitoring risk-taking activities to achieve the best possible outcome for the bank. Our team oversees various types of risks, including model risk, enterprise risk, strategic risk, credit risk, market risk, liquidity risk, operational risk, and more.
In this position, you will work closely with Senior Quantitative Advisors and the team Manager to conduct independent model reviews of relevant models used in SG Americas. Your responsibilities will include:
- Model Review: Assess the conceptual soundness of models by performing quantitative analyses, statistical tests, and developing challenger models for benchmarking purposes.
- Data Quality: Verify data input quality and processing, model output accuracy, and assess data quality and consistency between data characteristics and modeling assumptions.
- Model Architecture: Replicate and review model architecture to ensure computational accuracy and correct implementation.
- Sensitivity Analysis: Analyze model output through backtesting, benchmarking, sensitivity analysis using quantitative tools and techniques.
- Model Governance: Evaluate model governance aspects such as model change management, ongoing monitoring, and inherent and residual model risk assessment.
Requirements
To succeed in this role, you will need:
- A Bachelor's degree (Master's or PhD preferred) 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; 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.
Salary and Benefits
We offer a competitive salary range of $120,000 - $180,000 per year, depending on experience, plus benefits, including health insurance, retirement plan, and paid time off.
Languages
The ability to communicate in English, both orally and in writing, is a requirement for this position, as you will need to collaborate regularly with colleagues and partners in the United States.
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