Quantitative Modeling Expert

4 weeks ago

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

Job Summary

Societe Generale de Surveillance SA is seeking a skilled Quantitative Advisor to join its Risk Management Department in the United States. As a key member of the Model Risk Management (MRM) team, you will be responsible for overseeing model risk management and supervising the model risk management function for the SG America regions.

About the Role

The Quantitative Advisor will participate in the development and maintenance of the continuous model monitoring (CMM) framework, working closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and front-office staff.

Key Responsibilities

  • Metrics Design and Implementation: Develop and implement metrics aimed at monitoring model performance within your scope.
  • Documentation: Draft business requirements for metric implementation and detailed descriptions of metric calculation methodologies.
  • Analysis of Metrics Results and Breach Management: Liaise with the first line of defense and validation teams in managing reporting on model risk evolution and remediation actions.
  • Data Quality: Maintain the quality and consistency of data across different systems and management reporting tools used by MRM.
  • Model Risk Identification and Assessment:
  • Collaboration: Work closely with front-office staff, model developers, model validators, IT services, and risk managers.

Requirements

  • Education: Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, Engineering, or Mathematics; Master's preferred.
  • Experience: Minimum 2 years in model development, validation, or a front-office quant role.
  • Technical Proficiency: Strong analytical skills, strong programming skills in Python and SQL, experience working with large datasets, and quantitative analysis.
  • Model Risk: Familiarity with model risk management practices and US regulatory requirements (SR-1107) is a plus.

Benefits and Culture

Societe Generale de Surveillance SA offers a competitive salary range of $120,000 - $180,000 per year, depending on qualifications and experience. The company provides a hybrid work environment, a minimum of 20 vacation days, supportive leave policies, health spending accounts, virtual healthcare assistance, and employee resource groups. Our Diversity & Inclusion Mission aims to foster a culture of inclusivity and respect.

Our Company

We are a leading international financial institution with a strong presence in the Americas, Europe, and Asia. Our Risk Management Department plays a critical role in supporting our business activities and ensuring compliance with regulatory requirements.

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