Quantitative Advisor

Permanent contract|Montreal|Risks

Quantitative Advisor

Montreal, Canada Permanent contract Risks

Responsibilities

The Junior Quantitative Advisor will execute independent review of business models under both US and Canada regulations working closely with cross functional teams, including business stakeholders, model developer, model validators (Paris and NY office), IT, auditors. Presentation of validation analysis to senior management is in the scope of this role. She/he will be exposed to a variety of models used by the business and support functions, including models for credit risk, market risk, counterparty risk, stress testing, margining, IFRS9, trading algorithms and financial crime compliance.

In collaboration with the Team Manager, the Junior Quantitative Advisor will:

  • Conduct independent model review of relevant models that are employed in SG Americas at all stages of their lifecycle by:
    • Assessing model conceptual soundness to ensure the consistency of model design by performing quantitative analyses and statistical tests, developing challenger models for benchmark, reviewing model development processes, and challenging the theoretical aspects considering published research and industry practice;
    • Working with large, complex datasets to verify data input quality and processing (feeding, transformation), model output accuracy, and employ advanced statistical techniques to work with sparse datasets;
    • Assessing data quality and consistency between data characteristics and modeling assumptions;
    • Replicating and review model architecture to verify the computation accuracy of a model and ensure the model is implemented as designed and all model components are functioning as intended
    • Analyzing model output through backtesting, benchmarking, sensitivity analysis by using quantitative tools and techniques;
    • Assessing the model use to ensure it is aligned with the intended purpose by identifying and reviewing model output production, usage, reporting, and business processes;
    • Reviewing model ongoing monitoring to ensure that model is performing as intended by evaluating whether changes in products, exposures, activities, clients, or market conditions necessitate adjustment, redevelopment, or replacement of the model. Verify the model performance over time and ensure that model limitations are assessed;
    • Conducting and interpreting 2LOD model monitoring;
    • Assessing model governance aspects such as model change management, ongoing monitoring, and model risk assessment;
  • Evaluate overall model risk, report findings and propose recommendations of remediation. Draft comprehensive validation documents and contribute to the preparation of model review materials for MRM management and committees, RISQ management, and model and business partners; 
  • Maintain positive relationships and continuous communication with model and business stakeholders;
  • Candidate must be able to communicate model review outcomes (and intermediate feedback) verbally – not only in validation report (mentioned above);
  • Work with front office, model developers and risk managers with day-to-day model review and remediation follow-up.

Profile required

Requirements for the Junior Quantitative Advisor:

  • Minimum of a Bachelor’s Degree (Master and PhD preferred) in a quantitative area: Mathematical Finance, Financial Engineering, Statistics, Economics, Computer Science, Technology, Engineering and Mathematics;
  • At least 1 year of experience in model development or validation in finance/risk management, or in market risk or counterparty credit risk management, or financial crime compliance, or front office quant role;
  • Good quantitative programming skills in at least one programming language (e.g. Python, R, C++, SAS, Matlab);
  • Advanced knowledge of statistics, econometrics, and machine learning;
  • Strong verbal and written communication skills with the ability to work with quant or non-quant staffs;
  • Awareness of model risk management and associated regulatory requirements;
  • Team-oriented with a keen sense of ownership and accountability;
  • Project and time management skills to work in a multi-tasking working environment;
  • Experience in large data management and quantitative analysis is a plus;
  • Bilingual (English and French) is a plus;
  • FRM or other Risk Management certifications is a plus.

Why join us

WHY JOIN US

OUR Benefits 

Competitive compensation & benefits offering, including but not limited to:

  • Minimum of 20 Vacation days + 4 personal days 
    • Supportive Maternity, paternity, parental and adoption leave policy 
    • Health spending ($2,000/year) and personal spending ($1,000/year) accounts with 75+ eligible reimbursement categories (health, training, electronics etc.)
    • Fully sponsored virtual healthcare assistance and Employee Assistance Program to you and your immediate family
  • Various Employee Resource Groups (ERG) to engage with such as Pride and Allies, American Women Network, Black Leadership Network, One planet, etc. 
  • A culture of continuous development by encouraging our employees various training programs (online training and coaching platform such as Coursera, GoFluent, Pluralsight, First Finance, and others) 

Business insight

OUR CULTURE
At Societe Generale, we live by our 4 core values of commitment, responsibility, team spirit and innovation. We are engaged and demonstrate consideration for others. We act ethically and with courage. We focus our talent and energy on collective success. We experiment and propose new ideas. This way, we maximize our ability to serve client needs and anticipate market changes. Societe Generale is committed to strengthening bonds with colleagues, communities, and the world in which we live, because relationships are at the heart of how we operate.

D&I
Our Diversity & Inclusion Mission: Recruit, develop, advance, and retain a diverse workforce that is united in our efforts to enhance our competitive position and deliver innovative solutions to our clients.

Our Diversity & Inclusion Vision: 
•     Engaged workforce that is demographically diverse in a way that reflects the communities in which we operate
•     Inclusive culture and workplace that recognizes employees' unique needs and utilizes their diverse talents 
•     Engage our community and marketplace, and position the organization to meet the needs of all its clients

For more information about our D&I initiatives, please visit this link (https://americas.societegenerale.com/en/societe-generale-about/diversity-and-inclusion/)

HYBRID WORK ENVIRONMENT
Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely, as well as on-site, in order to promote interaction and collaboration with colleagues while adhering to all SG standard protocols.  Hybrid work arrangements vary based on business area.  The applicable Business lines will determine and communicate the work arrangements that best meet their business needs.

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, 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: 230000RV
Entity: SG Global Solution Centre
Starting date: 2023/02/27
Publication date: 2023/01/12
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