Quantitative Risk Management Specialist
3 weeks ago
The Quantitative Risk Management Department at SGS Société Générale de Surveillance SA contributes to the sustainable growth of the organization through its expertise in risk 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.
In this context, the Model Risk Management (MRM) team plays a crucial role in overseeing 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). This includes overseeing the SG America's governance for model risk and conducting an independent review of models within its scope.
As a Quantitative Advisor, you will execute independent reviews of business models under both US and Canada regulations, working closely with cross-functional teams, including business stakeholders, model developers, model validators, IT, and auditors. You will also be exposed to various models used by the business and support functions, including models for credit risk and financial crime compliance.
Key Responsibilities:
- Independently assess model design and conceptual soundness by conducting quantitative analyses, statistical tests, and developing challenger models for benchmarking.
- Verify the quality and consistency of data inputs, transformations, and outputs, using advanced statistical techniques to address complex datasets.
- Review and replicate model architecture to ensure computational accuracy and correct implementation.
- Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
- Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions, products, or clients.
- Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
- Draft detailed validation reports and communicate findings to stakeholders, including management and business partners.
Requirements:
To succeed in this role, you will need:
- A Bachelor's degree in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, or STEM; a Master's or PhD is preferred.
- 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.
Estimated Salary: $120,000 - $150,000 per annum
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