Quantitative Advisor - Model Risk Management (Credit Risks and Compliance)

Quantitative Advisor - Model Risk Management (Credit Risks and Compliance)

Risks Permanent contract Montreal, Canada Reference 24000MQT Start date 2024 / 11 / 25 Publication date 2024 / 10 / 01

Responsibilities

ABOUT THE JOB :

The Risk Management Department contributes to the sustainable growth of the Societe Generale group 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, together with the first line-of-defense, the best possible outcome for the bank.

The department oversees the enterprise, strategic, credit, market, liquidity, operational, model, and other risks of the corporate and investment banking business activities.

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).

In this respect, MRM notably oversees the SG America’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 SG America’s model risk management system, as well as its consistency, integrity, and compliance with regulatory provisions.
• The independent review of internal models within its scope. The independent review is carried out in accordance with the fundamental principles of the MRM system by extending the due diligence procedures to cover all model aspects required by the regulations (conceptual soundness, implementation, usage, ongoing monitoring of the model carried out by the first line of defense) and in accordance with the scope defined in the context of the oversight.
• Managing the model approval process within its scope.
• Monitoring of the models’ performance, effectiveness of the MRM framework, and the model business environment on ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements.

The Quantitative Advisor will execute independent review of business models under both US and Canada regulations working closely with cross functional teams, including business stakeholders, model developer, model validators (Paris and NY office), IT, auditors.

Presentation of validation analysis to senior management is in the scope of this role. He / she will be exposed to a variety of models used by the business and support functions, including models for credit risk and financial crime compliance.

What will be your DAY-TO-DAY?

In collaboration with Senior Quantitative Advisors and the team Manager, the Quantitative Advisor will :

• Model Review : Independently assess model design and conceptual soundness by conducting quantitative analyses, statistical tests, and developing challenger models for benchmarking.
• Data Quality : Verify the quality and consistency of data inputs, transformations, and outputs, using advanced statistical techniques to address complex datasets.
• Model Replication : Review and replicate model architecture to ensure computational accuracy and correct implementation.
• Output Analysis : Perform backtesting, benchmarking, and sensitivity analysis to evaluate model performance and accuracy.
• Model Use : Ensure model outputs align with business processes, intended use, and reporting requirements.
• Ongoing Monitoring : Regularly assess model performance, recommending adjustments or redevelopment based on changes in market conditions, products, or clients.
• Model Governance : Evaluate governance aspects, including change management and ongoing monitoring, and assess overall model risk.
• Communication and Reporting : Draft detailed validation reports and communicate findings to stakeholders, including management and business partners.
• Collaboration : Work closely with front-office staff, model developers, and risk managers to review models and address remediation efforts.

Profile required

Skills and 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.
• Communication : Excellent written and verbal communication skills for working with both technical and non-technical staff.
• Model Risk : Familiarity with model risk management practices and regulatory requirements.
• Additional Skills : Experience with credit risk or compliance risk models. Certifications such as FRM are a plus.

Languages : French and English

Ability to communicate in English, both orally and in writing, is a requirement as the person in this position will need to collaborate regularly with colleagues and partners in the United States .

Due to US Federal Securities law applying to this position, candidates who will apply for this position will be required to submit to an enhanced background screening, including the collection of their fingerprints by a third-party vendor selected by the Financial Industry Regulatory Authority ( FINRA ).

Why join us

OUR BENEFITS :

WHAT WE DO DIFFERENTLY AT SOCIÉTÉ GÉNÉRALE

Competitive compensation & benefits offering, including but not limited to :

• Minimum of 20 Vacation days + 4 personal days
• Supportive Maternity, paternity, parental and adoption leave policy Health spending ($2,000 / year) and personal spending ($1,000 / year) accounts with 75+ eligible reimbursement categories (health, training, electronics etc.

Fully sponsored virtual healthcare assistance and Employee Assistance Program to you and your immediate family Various Employee Resource Groups (ERG) to engage with such as Pride and Allies, American Women Network, Black Leadership Network, One planet, etc.

• A culture of continuous development by encouraging our employees various training programs (online training and coaching platform such as Coursera, GoFluent, Pluralsight, First Finance, and others)
Il y a 7 jours