Quantitative Advisor –Model Risk Management

Job description

ABOUT THE JOB

Within Societe Generale Corporate & Investment Banking, the Global Markets Division brings together the Research, Investment and Risk Management Solutions, Execution and Clearing, Prime Services, Equities, Fixed Income, Futures and Currencies & Commodities structuring capabilities with the objective of providing investors with one integrated multi-asset market solutions team. The business uses an advisory and innovation mindset, focused on client needs, with a global leader in financial markets engineering.

Global Markets is a leading player in derivatives, with unrivaled over the counter and listed derivatives expertise, as well as cross-asset and economic research. Our prime services' offering is a unique combination of execution, clearing, custody and financing services. The Global Markets Division provides investment and risk hedging solutions to its corporate and institutional clients. The person will join the R&D group and will be based in Montreal.

This group is responsible for developing, implementing, and maintaining analytics, pricing, and risk-management tools for SG. Reporting directly to the local Head, the individual will concentrate on Model Risk Management (MRM) topics. In this Front Office role working In accordance with the SR 11-7 regulation, SG must continuously review the conceptual soundness, accuracy, and implementation methods of its quantitative models.

Throughout the model’s lifecycle, the Risk team issues a list of recommendations classified by different levels of criticality. Within the ARD framework, the MRM team is tasked with implementing and addressing these recommendations across the AMER region. What will be your DAY-TO-DAY? Monitor accurately and promptly the pricing and margining models for the AMER branch. Continuously improve existing monitoring methodologies to enhance accuracy and efficiency.

Implement innovative solutions and best practices to streamline and optimize the monitoring process. Participate in the oversight of the SIMM model and other risk metrics managed by the Global Markets Department.

In this role, you will: Work with global stakeholders to design solutions, develop coding architectures, and implement controls addressing quantitative recommendations from audits, RISQ, or regulatory bodies. Contribute to thorough and precise documentation of pricing models. Support the certification of pricing models, ensuring appropriate model ratings. Guarantee that all documentation complies with internal standards and regulatory requirements.