Your primary role, as part of the Second Line of Defense validating pricing models, is to review the First Line of Defense modeling proposals. This includes, but not limited to, the following:
• Identify key risk factors which impact model risk
• Evaluate soundness of model choices
• Challenge model assumptions
• Challenge model implementation: check model is implemented and working as intended, check and review implementation tests performed, review the controls and procedures put in place
• Perform independent tests on the models (statistical tests, coherence tests, benchmarking, etc)
• Write validation reports comprising tests performed and findings
This role requires working closely with the Group pricing model validation team.
The role also require interactions with different functions which form part of the First line of defense (Finance, Treasury, IT teams, Front Office…) and the Third part of defense (Audit) in order to prepare the validation of the models under regulatory standards as well as continuous review and monitoring of these models.
This role also requires frequent communications to internal validation committees composed of senior level experts in the bank. As such, oral and written communication skills are important.
We are an equal opportunities employer and we are proud to make diversity a strength for our company. Societe Generale is committed to recognizing and promoting all talents, regardless of their beliefs, age, disability, parental status, ethnic origin, nationality, sexual or gender identity, sexual orientation, membership of a political, religious, trade union or minority organisation, or any other characteristic that could be subject to discrimination.