Market Risk Model Validation Specialist
3 weeks ago
About Societe Generale's Risk Management Department
The Risk Management Department plays a crucial role in SGS Société Générale de Surveillance SA's sustainable growth through its expertise, risk understanding, and 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.
The Model Risk Management (MRM) team embedded within the Risk Management function oversees model risk management, responsible for the second line of defense for model risk and supervising the model risk management function for the SG Americas regions. In this respect, MRM notably oversees the SG America's governance for model risk and conducts the independent review of the models in its scope.
Day-to-Day Activities
- Independent Model Review
- Conduct independent model review of relevant models that are employed in SG Americas at all stages of their lifecycle by assessing model conceptual soundness to ensure the consistency of model design. Perform quantitative analyses and statistical tests, develop challenger models for benchmark, and challenge theoretical aspects considering published research and industry practice.
- Work with large, complex datasets to verify data input quality and processing, model output accuracy. 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.
- Ensure model outputs are used in line with intended purpose, business processes, and reporting requirements.
- 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.
- Validation Reports and Stakeholder Communication
- Draft detailed validation reports and communicate findings to stakeholders. Prepare model review materials for the management and risk committees.
- Relationship Building and Collaboration
- Maintain positive relationships and continuous communication with model and business stakeholders. Work closely with front-office staff, model developers, and risk managers to review models and address remediation efforts.
Required Skills and Qualifications
- Must-Have Qualifications
- 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, econometrics, and machine learning.
- Data Management: Experience working with large datasets and quantitative analysis.
- Communication: Excellent written and verbal communication skills for working with both technical and non-technical staff.
- Model Risk: Familiarity with model risk management practices and regulatory requirements.
- Additional Skills: Experience with market risk, counterparty risk, margining, or algorithmic trading models. Certifications such as FRM are a plus.
Estimated Salary Range: $100,000 - $150,000 per year
Languages: English
Ability to communicate in English, both orally and in writing, is a requirement as the person in this position will need to collaborate regularly with colleagues and partners in the United States.
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