Model Validation Quantitative Advisor - Risks - Montreal, Quebec, Canada

Responsibilities

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 Americas regions (US, Canada, and Latin America).

In detail, MRM’s main tasks are:

• The design of the SG Americas 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.
• As a Quantitative Advisor, the job of model validation involves independently assessing and verifying the accuracy, robustness, and regulatory compliance of models. This involves ensuring that models are conceptually sound, accurately implemented, and compliant with regulatory expectations, including those outlined in supervisory guidance such as the Federal Reserves SR 26-2.

Key responsibilities include collaborating with risk owners and first-line teams, performing rigorous model testing and documentation, supporting ongoing monitoring, and preparing for regulatory reviews. Effective communication with senior management and validation committees is important to convey model risks and validation outcomes.

Candidates should have experience in validating financial models, including model design, implementation, and performance testing. Knowledge of regulatory frameworks and supervisory guidance, such as SR 26-2 on model risk management, is essential to ensure compliance and robust validation practices.

What will be your day-to-day?

Under the supervision of the Head of Credit model validation, your primary role, as part of the second Line of Defense on Model Risk Management team, is to review the first Line of Defense modeling proposals.

• Perform direct validation of local models developed and used within SG Americas and global models. Conceptual Soundness: Evaluate soundness of model choices and assess the quality of model design and development. Challenge model assumptions, inherent limitations, and the potential impact of those limitations and issues on its outputs.
• Model Use: Review and confirm that the identified usages align with the intended purpose, which includes adhering to established protocols for its application.
• Model Implementation: Perform independent tests on the model (statistical tests, coherence tests, benchmarking, etc.) to verify accurate implementation and confirm that the model operates consistently with its design as intended use. Review sensitivity analysis and tests performed, review controls and procedures in place.
• Ongoing Monitoring and Outcome Analysis: Assess the mechanisms for ongoing model performance monitoring, issue identification, and risk management to ensure effective oversight, policy compliance. Ensure that the model remains reliable, relevant, and compliant throughout its lifecycle, this includes review risk mitigation measures, compensating controls, and risk acceptances.
• Write validation reports comprising tests performed, validation conclusions and findings addressed to the first line of defense.
• In addition to performing direct validations of local models, review and assess the validations performed by 2LoD at the Group level in compliance with SR 26-2 standards.
• These interactions support the preparation for model validation in accordance with regulatory standards, as well as the ongoing review and monitoring of Models.

Profile required

SKILLS AND QUALIFICATIONS:

• Key skills include proficiency in finance, mathematics, statistical and econometric methods, programming languages (e.g., Python, R, SAS), and familiarity with relevant risk management systems and tools.
• Strong analytical abilities and attention to detail are critical for identifying model weaknesses and assessing model assumptions.
• Effective communication skills are also necessary to interact with multiple stakeholders, including risk owners, first-line teams, audit, and senior validation committees.
• A solid understanding of banking products and financial markets enhances the ability to contextualize model risks.
• Prior experience in a validation function or risk management role within a financial institution is highly valuable.

Required:

• Strong analysis skills.
• Strong ability in statistics and data analysis programs (Python, R, VBA and etc).
• Strong reasoning and communication skills.
• Understanding banking and market products, risk methodologies, practices and procedures.
• 3 years of working experience in finance industry is preferable.

Plus:

• Valuable experience in the model validation or model development field.

Education

MS in Finance/Engineering or similar field preferred.

Language

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

Why join us

Business insight Societe Generale is committed to offering an inclusive recruitment experience to all candidates. If you require any reasonable accommodations during the recruitment process, please do not hesitate to let our Recruiters know.

OUR CULTURE

At Societe Generale, we live by our 4 core values of commitment, responsibility, team spirit and innovation. We are engaged and demonstrate consideration for others. We act ethically and with courage. We focus our talent and energy on collective success. We experiment and propose new ideas. This way, we maximize our ability to serve client needs and anticipate market changes. Societe Generale is committed to strengthening bonds with colleagues, communities, and the world in which we live, because relationships are at the heart of how we operate. For more information about our Culture and Conduct initiatives, please visit this link (https://americas.societegenerale.com/en/careers/get-know-culture/).

D&I

Our Diversity & Inclusion Mission: Recruit, develop, advance, and retain a diverse workforce that is united in our efforts to enhance our competitive position and deliver innovative solutions to our clients.

Our Diversity & Inclusion Vision: Engaged workforce that is demographically diverse in a way that reflects the communities in which we operate inclusive culture and workplace that recognizes employees' unique needs and utilizes their diverse talents engage our community and marketplace, and position the organization to meet the needs of all its clients.

For more information about our D&I initiatives, please visit this link (https://americas.societegenerale.com/en/careers/get-know-diversity/).

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