Quantitative Risk Management Specialist

1 month ago

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

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

The Model Risk Management (MRM) team, embedded within the Risk Management function in SG CIB, 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). MRM oversees the SG America's governance for model risk and conducts the independent review of the models in its scope.

M RM's main tasks are:

  • Designing the SG America's model risk management system, ensuring consistency, integrity, and compliance with regulatory provisions.
  • Managing the model approval process within its scope.
  • Monitoring the models' performance and effectiveness of the MRM framework on an ongoing basis, 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. 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 through quantitative analyses and statistical tests.
    • Working with large, complex datasets to verify data input quality and processing.

Key Qualifications

Must 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.
  • Model Risk: Familiarity with model risk management practices and regulatory requirements.
  • Additional Skills: Experience with market risk, counterparty risk, margining, or algorithmic trading models.

Languages: French and English. Ability to communicate in English, both orally and in writing, is required.

Due to US Federal Securities law applying to this position, candidates will be required to submit to an enhanced background screening.

Our Benefits

  • Minimum of 20 Vacation days + 4 personal days
  • Supportive Maternity, paternity, parental and adoption leave policy.
  • Health spending and personal spending accounts with eligible reimbursement categories.
  • Fully sponsored virtual healthcare assistance and Employee Assistance Program.
  • A culture of continuous development through various training programs.

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