Quantitative Advisor - Model Risk Management (Model Portfolio 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, carried out in accordance with the fundamental principles of the MRM system.Managing the model approval process within its scope.Monitoring of the models’ performance, effectiveness of the MRM framework, 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 and effectiveness of the MRM framework. He/she will work closely with cross-functional teams, including model validators, model developers, business stakeholders, IT, and auditors.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, including production automation and reporting.Implement metrics and reporting dashboards for monitoring the effectiveness of the MRM framework.Documentation: Draft business requirements for metric implementation and document model risk monitoring methodology.Analysis of the metrics results and breach management: Liaison with the first line of defense in management reporting on model risk evolution.Data Quality: Maintain the quality and consistency of data across different systems and management reporting tools.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.Skills and Qualifications:Must Have:Education: Bachelor's degree (Master's preferred) in a quantitative field.Experience: Minimum 2 years in model development, validation, or a front-office quant role.Technical Proficiency: Strong analytical skills and programming skills in Python and SQL.Data Management: Experience working with large datasets and quantitative analysis.Model Risk: Familiarity with model risk management practices.Communication and Autonomy: Excellent written and verbal communication skills.Languages: French and EnglishAbility to communicate in English is a requirement.Due to US Federal Securities law, candidates will be required to submit to an enhanced background screening.OUR BENEFITS:Minimum of 20 Vacation days + 4 personal daysSupportive Maternity, paternity, parental and adoption leave policyHealth spending and personal spending accountsFully sponsored virtual healthcare assistanceVarious Employee Resource Groups (ERG)Culture of continuous development by encouraging various training programsOUR CULTURE:At Societe Generale, we live by our 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 promotes interaction and collaboration with colleagues. #J-18808-Ljbffr