Quantitative Advisor

Permanent contract|New York|Risks

Quantitative Advisor

New York, United States Permanent contract Risks

Responsibilities

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.

Profile required

Required: 
• Strong analytical skills, especially notions of statistics for finance.
• Strong knowledge of different modelling approaches to review models, such as stochastic calculus, partial differential equations, Monte-Carlo simulation, machine learning, linear regression, logistic regression, decision tree, time series, optimization etc.
• Strong ability in statistics and data analysis programs (like R, Python…)
• Strong reasoning and communication skills
Plus: 
• Understanding of banking and market products, risk methodologies, practices and procedures and exposure to institutional sales and trading front office
• Knowledge of model risk related regulations such as SR 11-7

EDUCATION 

Required: 
• Master's degree in Applied Mathematics/Financial Engineering field

Business insight

Division Description: 
Société Générale Corporate & Investment Banking (SGCIB) is the third largest investment bank in the European Economic Area and is present in more than 75 countries around the world.
 
The RISQ Division's mission is to contribute to the development of the SG Group's activity by facilitating the objectives of the Business Lines while maintaining independent oversight through risk evaluation and monitoring. The RISQ division in the US supports all the activities in the Americas Region (US, Canada and Latin America), which is almost exclusively GBIS-oriented. 

The Market Risk Department of Société Générale in New York contains a Model Validation Team (6 persons at Master/PhD levels). This independent team is responsible for conducting product and model validation to help assess and mitigate the risk embedded in pricing and liquidity models.
 

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.

Reference: 20000REL
Entity: SG AMERICAS OPERATIONAL SECURITIES
Starting date: immediate
Publication date: 2021/01/14
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