Senior Risk Model Validation Expert
4 weeks ago
The Risk Management Department plays a crucial role in the sustainable growth of Societe Generale by leveraging its expertise, risk understanding, and management techniques. The department's mission is to independently analyze, assess, manage, and monitor risk-taking activities with the goal of achieving the best possible outcome for the bank.
The Model Risk Management (MRM) team within the Risk Management function oversees model risk management for SG CIB. MRM is responsible for the second line of defense for model risk and supervises the model risk management function for the SG America regions (US, Canada, and Latin America). In this respect, MRM oversees the SG America's governance for model risk and conducts an independent review of the models in its scope.
Job DescriptionThe Quantitative Advisor will participate in the development and maintenance of the continuous model monitoring (CMM) framework to assess the models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements.
In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Advisor will:
- Conduct independent model reviews of relevant models employed in SG Americas at all stages of their lifecycle by:
Assessing model conceptual soundness to ensure consistency of model design through quantitative analyses and statistical tests, developing challenger models for benchmark, and challenging theoretical aspects considering published research and industry practice.
Working with large, complex datasets to verify data input quality and processing, model output accuracy, assessing data quality and consistency between data characteristics and modeling assumptions.
Replicating and reviewing model architecture to verify computational accuracy of a model and ensure correct implementation.
Analyzing model output through backtesting, benchmarking, sensitivity analysis using quantitative tools and techniques.
Reviewing model ongoing monitoring to ensure changes in products, exposures, activities, clients, or market conditions trigger adjustment, redevelopment, or replacement of the model.
Evaluating model governance aspects such as model change management, ongoing monitoring, and inherent and residual model risk assessment.
Required Skills and QualificationsTo succeed in this role, you should have:
- Education: Bachelor's degree (Master's or PhD preferred) 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.
Societe Generale offers:
- A minimum of 20 vacation days + 4 personal days per year.
- A supportive maternity, paternity, parental, and adoption leave policy.
- 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 to employees and their immediate family.
- Various Employee Resource Groups (ERG) to engage with, such as Pride and Allies, American Women Network, Black Leadership Network, One planet, etc.
Societe Generale is committed to diversity and inclusion, striving to create a workforce that reflects the global nature of our business. We offer a hybrid work arrangement that allows employees to work remotely and on-site, promoting interaction and collaboration while adhering to SG standard protocols.
The estimated salary range for this position is $120,000 - $180,000 per year, based on factors such as location, experience, and qualifications.
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