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Senior Model Risk Analyst

2 months ago

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

The Risk Management Department at SGS Société Générale de Surveillance SA plays a crucial role in 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 to achieve the best possible outcome for the bank. The department oversees various risks, including model, enterprise, strategic, credit, market, liquidity, operational, and other risks.

The Model Risk Management (MRM) team is embedded within the Risk Management function in SG CIB and oversees model risk management. 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 the independent review of the models in its scope.

The MRM team's main tasks include:

  • Designing the SG America's model risk management system, ensuring its consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process within its scope.
  • Monitoring 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.

The 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. He/she will work closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and other teams with exposure to various models across the business and support functions.

In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Advisor will:

  • 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 by performing quantitative analyses and statistical tests, developing challenger models for benchmark, and challenging the 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 the computational accuracy of a model and ensure correct implementation.
    • Analyzing model output through backtesting, benchmarking, sensitivity analysis by using quantitative tools and techniques.
    • Reviewing model ongoing monitoring to ensure that 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.