Quantitative Advisor (Liquidity Model Validation)

1.    RESPONSIBILITIES

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.

ABOUT THE JOB:

The 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 Americas regions (US, Canada, and Latin America).

In details, MRM’s main tasks are: 
•    The design of the SG Americas model risk management system, as well as its consistency, integrity, and compliance with regulatory provisions.
•    The independent review of internal models within its scope. The independent review is carried out in accordance with the fundamental principles of the MRM system by extending the due diligence procedures to cover all model aspects required by the regulations (conceptual soundness, implementation, usage, ongoing monitoring of the model carried out by the first line of defense) and in accordance with the scope defined in the context of the oversight.
•    Managing the model approval process within its scope.
•    Monitoring of the models’ performance, effectiveness of the MRM framework, and the model business environment on ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements.

As a Sr. Quantitative Advisor, the job of Liquidity and Structural Risk Models validation involves independently assessing and verifying the accuracy, robustness, and regulatory compliance of models used to measure liquidity and structural risks within the bank. This involves ensuring that models are conceptually sound, accurately implemented, and compliant with regulatory expectations, including those outlined in supervisory guidance such as the Federal Reserve’s SR 11-7. Key responsibilities include collaborating with risk owners and first-line teams, performing rigorous model testing and documentation, supporting ongoing monitoring, and preparing for regulatory reviews. Effective communication with senior management and validation committees is crucial to convey model risks and validation outcomes.

This role requires a strong background in quantitative risk management, with specific expertise in liquidity risk and interest rate risk modeling. Candidates should have experience in validating financial models, including model design, implementation, and performance testing. Knowledge of regulatory frameworks and supervisory guidance, such as SR 11-7 on model risk management, is essential to ensure compliance and robust validation practices.

WHAT WILL BE YOUR DAY-TO-DAY?

Your primary role, as part of the second Line of Defense on Liquidity and Structural Risk Models, is to review the first Line of Defense modeling proposals. This includes, but not limited to, the following:

•    Perform direct validation of local models developed and used within SG Americas:

o    Conceptual Soundness: Evaluate soundness of model choices, and assess the quality of model design and development. Challenge model assumptions, inherent limitations, and the potential impact of those limitations and issues on its outputs.

o    Model Use: Review and confirm that the identified usages align with the intended purpose, which includes adhering to established protocols for its application.

o    Model Implementation: Perform independent tests on the model (statistical tests, coherence tests, benchmarking, etc) to verify accurate implementation and confirm that the model operates consistently with its design as intended use. Review sensitivity analysis and tests performed, review controls and procedures in place.

o    Ongoing Monitoring and Outcome Analysis: Assess the mechanisms for ongoing model performance monitoring, issue identification, and risk management to ensure effective oversight, policy compliance. Ensure that the model remains reliable, relevant, and compliant throughout its lifecycle, this includes review risk mitigation measures, compensating controls, and risk acceptances.

o    Write validation reports comprising tests performed, validation conclusions and findings addressed to the first line of defense.

•    In addition to performing direct validations of local models, review and assess the validations performed by 2LoD at the Group level in compliance with SR 11-7 standards.

This role involves close collaboration with the Liquidity Risk Officer and the Group liquidity model validation team. It also requires interaction with various functions within the first line of defense—such as Finance, Treasury, IT teams, and Front Office—as well as with the third line of defense (Audit). These interactions support the preparation for model validation in accordance with regulatory standards, as well as the ongoing review and monitoring of Liquidity and Structural Risk Models.

2.    PROFILE REQUIRED

SKILLS AND QUALIFICATIONS:

Key skills include proficiency in statistical and econometric methods, programming languages (e.g., Python, R, SAS), and familiarity with relevant risk management systems and tools.

Strong analytical abilities and attention to detail are critical for identifying model weaknesses and assessing model assumptions. Effective communication skills are also necessary to interact with multiple stakeholders, including risk owners, first-line teams, audit, and senior validation committees.

A solid understanding of banking products, treasury operations, and financial markets enhances the ability to contextualize model risks. Prior experience in a validation function or risk management role within a financial institution is highly valuable.

Required: 
•    Strong analysis skills, especially liquidity risk management topics.
•    Strong ability in statistics and data analysis programs (Python, R, VBA and etc). 
•    Strong reasoning and communication skills. 
•    Understanding banking and market products, risk methodologies, practices and procedures, liquidity risk management principles.

Plus: 
•    5+ years of working experience in finance industry is preferable.
•    Valuable experience within a similar area (liquidity risk management position, validation under SR11-7 of liquidity models, ALM experience).

Education
•    MS in Finance/Engineering or similar field preferred.

Languages:

Ability to communicate in English, both verbally and in writing, is a requirement as the person in this position will need to collaborate regularly with colleagues and partners in the United States.

Due to US Federal Securities law applying to this position, candidates who will apply for this position will be required to submit to an enhanced background screening, including the collection of their fingerprints by a third-party vendor selected by the Financial Industry Regulatory Authority (“FINRA”).

OUR BENEFITS:

WHAT WE DO DIFFERENTLY AT SOCIÉTÉ GÉNÉRALE

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)

Societe Generale is committed to offering an inclusive recruitment experience to all candidates. If you require any reasonable accommodations during the recruitment process, please do not hesitate to let our Recruiters know.

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. For more information about our Culture and Conduct initiatives, please visit this link (https://americas.societegenerale.com/en/careers/get-know-culture/)

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/careers/get-know-diversity/)

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.