Quantitative Advisor - Model Risk Management

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.Managing the model approval process within its scope.Monitoring of the models’ performance, effectiveness of the MRM framework, and the model business environment on an ongoing basis.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. 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.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.Implement metrics and reporting dashboards for monitoring of the effectiveness of the MRM framework.Documentation: Draft business requirements for metric implementation to IT support and detailed description of the metric calculation methodologies.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.Data Quality: Maintain the quality and consistency of data across different systems.Model risk identification and assessment: Design/maintain the scoring process for the model portfolio annual assessment.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.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 programming skills in Python and SQL.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 a plus.Communication and Autonomy: Excellent written and verbal communication skills for working with both technical and non-technical staff.Languages: French and EnglishWhy join usOUR BENEFITS:Minimum of 20 Vacation days + 4 personal daysSupportive Maternity, paternity, parental and adoption leave policyHealth spending ($2,000/year) and personal spending ($1,000/year) accounts with 75+ eligible reimbursement categoriesVarious Employee Resource Groups (ERG) to engage withA culture of continuous development by encouraging our employees various training programsOUR CULTURE:At Societe Generale, we live by our 4 core values of commitment, responsibility, team spirit and innovation.D&I:Our Diversity & Inclusion Mission: Recruit, develop, advance, and retain a diverse workforce.HYBRID WORK ENVIRONMENT:Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely, as well as on-site. #J-18808-Ljbffr