Senior Risk Management Quantitative Expert

17 hours ago

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

About the Job:

The Risk Management Department plays a pivotal role in Societe Generale's sustainable growth by providing expertise, understanding of risks, and risk management techniques. Its mission is to analyze, assess, manage, and monitor risk-taking activities to achieve the best possible outcome for the bank. The department oversees various types of risks, including enterprise, strategic, credit, market, liquidity, operational, model, and other risks.

Model Risk Management (MRM) is responsible for overseeing model risk management as the second line of defense. MRM supervises the model risk management function for SG Americas regions and oversees governance for model risk and conducts independent reviews of models within its scope.

Main Responsibilities:

  • Designing the model risk management system for SG America, ensuring consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process and monitoring models' performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.

The Quantitative Advisor will contribute to the development and maintenance of the continuous model monitoring framework to assess models' performance, effectiveness of the MRM framework, and the model business environment. They will work closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, auditors, and support functions.

In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Advisor will conduct independent model reviews of relevant models at all stages of their lifecycle, assessing conceptual soundness through quantitative analyses and statistical tests, reviewing model ongoing monitoring to ensure necessary adjustments, evaluating model governance aspects such as model change management, and working with large, complex datasets to verify data input quality and processing.

Required Skills and Qualifications:

Must Have:

  • Education: Bachelor's degree in a quantitative field, with a Master's or PhD preferred.
  • Experience: Minimum 3 years in model development, validation, or front-office quant roles; fewer years accepted with a PhD.
  • Technical Proficiency: Strong programming skills in Python, R, C++, or similar, with advanced knowledge of statistics and machine learning.
  • Data Management: Experience working with large datasets and quantitative analysis.
  • Model Risk: Familiarity with model risk management practices and regulatory requirements.
  • Additional Skills: Experience with market risk, counterparty risk, or algorithmic trading models.

Languages: French and English

A minimum estimated salary range for this position is $80,000 - $120,000 per annum, based on industry standards and location.

Benefits:

  • 20 vacation days + 4 personal days
  • Supportive maternity, paternity, parental, and adoption leave policy
  • Health spending and personal spending accounts
  • Fully sponsored virtual healthcare assistance
  • Diverse Employee Resource Groups (ERGs)
  • Ongoing professional development through training programs

We value diversity and inclusion in our workforce and strive to create an environment where everyone can thrive.

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