Quantitative Risk Management Specialist
3 weeks ago
About the Role:
The Risk Management Department at SGS Société Générale de Surveillance SA plays a crucial role in the sustainable growth of the company 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 with the objective of achieving the best possible outcome for the bank.
The Model Risk Management (MRM) team, embedded within the Risk Management function, 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 company's regions. In this respect, MRM notably oversees the company's governance for model risk and conducts the independent review of the models in its scope.
In detail, MRM's main tasks are:
- The design of the company's model risk management system, as well as its consistency, integrity, and compliance with regulatory provisions.
- Managing the model approval process within its scope.
- Monitoring of the models' performance and effectiveness of the MRM framework.
The Quantitative Risk Management Specialist will participate in the development and maintenance of the continuous model monitoring (CMM) framework to assess the models' performance and effectiveness of the MRM framework. In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Risk Management Specialist will:
- Conduct independent model review of relevant models employed by the company by assessing model conceptual soundness and performing quantitative analyses.
- Work with large, complex datasets to verify data input quality and processing.
- Evaluate model governance aspects such as model change management.
Requirements:
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.
- Model Risk: Familiarity with model risk management practices and regulatory requirements.
Languages: French and English
Benefits:
- Minimum of 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
- Continuous development through various training programs
Culture:
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