Quantitative Advisor - Model Risk Management (Model Portfolio Management)
Risks Permanent contract Montreal, Canada Reference 24000MZS 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 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 ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements.
He / she will be working closely with cross functional teams, including model validators (Paris and NY office), model developers, business stakeholders, IT, auditors with exposure to a variety of models across the business and support functions, including market risk, credit and counterparty risk, compliance, trading algorithms, and investment strategies.
What will be your DAY-TO-DAY?
In collaboration with the Team Manager the Quantitative Advisor will :
Metrics design and implementation : Develop and implement metrics aimed to monitor model performance in his / her model scope, including production automation and reporting.
Develop and implement business environment metrics based on identification of models’ factors that exploit model limitations or breach model assumptions.
- Implement metrics and reporting dashboards for monitoring of the effectiveness of the MRM framework in collaboration with the team in charge of overall MRM framework, policies, and procedures.
- Documentation : Draft business requirements for metric implementation to IT support and detailed description of the metric calculation methodologies, including threshold calibration for the metrics.
Document model risk monitoring methodology for the MRM policies and procedures.
Analysis of the metrics results and breach management : Liaison with the first line of defense and the validation teams in the management reporting on the model risk evolution and remediation actions.
Providing input to MRM and other stakeholders committees.
Data Quality : Maintain the quality and consistency of data across different systems and management reporting tools used by MRM.
Monitoring of the changes in the model portfolio, including model validation / approval status and execution of the model review plan.
- Model risk identification and assessment : Design / maintain the scoring process for the model portfolio annual assessment and manage the execution of the process in collaboration with MRM management team.
- Collaboration : Work closely with front-office staff, model developers, model validators, IT services and risk managers to review metrics, breaches and contribute to their remediation efforts.
Maintain positive relationships and continuous communication with model and business stakeholders.
Profile required
Skills and Qualifications :
Must Have :
- Education : Bachelor's degree (Master's preferred) in a quantitative field such as Mathematical Finance, Financial Engineering, Statistics, Engineering, or Mathematics.
- Experience : Minimum 2 years in model development, validation, or a front-office quant role.
- Technical Proficiency : Strong analytical skills. Strong programing skills in Python and SQL (any other language is a plus), excellent knowledge of BI tools / Microsoft Power BI (preferred) and Microsoft Office.
Knowledge of financial products & investment banking processes is a plus.
- Data Management : Experience working with large datasets and quantitative analysis.
- Model Risk : Familiarity with model risk management practices and US regulatory requirements (SR-1107) is plus.
- Communication and Autonomy : Excellent written and verbal communication skills for working with both technical and non-technical staff.
Autonomy, adaptability, and organizational skills to work independently in a variety of initiatives in dynamic environment.
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)
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