QUANTITATIVE RISK ANALYSTDesign econometric, statistical and Machine Learning models for risk prediction at the bank.
Specialised maths and statistics have always been your preferred playing field? You love juggling different equations?
As a Quantitative risk analyst, you will develop tools for managing the bank’s risks, such as rating models used by the Front Officers and models to calculate the right amount of capital required by the regulator.
- Designing models: statistical models in line with banking regulation and the needs of the various business areas.
- Expertise sharing: help the various business areas to better understand regulation enforcement.
- Innovation: contributing to the development of Data Science solutions rolled out as part of the bank’s new management projects.
Hello, my name is Audrey. I am Head of Missions at the Inspection and Internal Audit Department at Societe Generale.
In our team, we work daily to protect the Bank, the client, the economy, by developing mathematical models, to measure and anticipate risks.
We are particularly interested in 3 risks : Credit risk, operational risk, and climate risk.
The role of the Internal Audit is to give the management a clear vision of the bank risks and to improve operational efficiency. The establishment of the model is sometimes a long process, from 3 months to 2 years. First, we identify the need and the perimeter. We are helped by our collaborators. The data is then collected by the data teams or economists, to think about new models, to submit them to internal validation, internal audit or regulators.
Every mission has 3 phases :
A diagnostic phase, where we study and analyse the key process.
The second phase is about investigation, the analysis of the risk identified during the first phase. The third phase is the report phase, the audit report writing, where we objectively assess the level of risks of the entity. And we make recommendations in order to address the risks identified.
These recommendations are being followed over time by the auditors. The Model Audit team is composed by 20 auditors, in 3 different places : Paris, New-York and Bangalore.
We communicate a lot between auditors, we also spend a lot of time training to always be up to date on quantitative and audit techniques.
When I first joined Societe Generale, I was surprised to find out that my job was a good entry point into the Bank because I can work with many different people, and I can have a cross-functional view of the bank activities.
So we can evolve into other professions, project financing, market or audit activities.
One day, I could do Audrey's job !
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HIGHLIGHTS OF THE JOB
« For those who are passionate about maths, there really is a multitude of possible positions and applications within the bank. Risk teams require more and more technical proficiency, and degrees related to mathematics and statistics are highly valued » Achille-Joël | Quantitative risk analyst