Quantitative Modeler

Job description

Responsibilities

ALM is seeking to add a Quantitative Modeler to their team. Day-to-day responsibilities will include, but not be limited to:

·  Driving quantitative modeling projects, including the following efforts:
·  Participate in the design and implementation of the models and (large) data set analytics, usually Excel-based.
·  Incorporate Modeling expertise into qualitative aspects of the validations (written)
·  Provide high quality of documentation with quantitative and qualitative explanation of the models, their implementations and the business behavior.
·  Test and validate the models implemented including unit tests and non-regressions tests.
·  Collaborating with Treasury, Second Line of Defense (2LOD) / Risk department, various business lines, Operations to ensure completeness and accuracy of the business being modeled
·  Collaborating with Liquidity Reporting, IT, Data Quality and other functions supporting the implementation of the models
·  Support annual model review, including updating and adding to existing models and documentation
·  Ad hoc portfolio and (stressed) balance sheet analysis. Stress test by business line analysis.
·  Weekly review of LST results, including all drivers of stressed balance sheet, and commentary for presentations of the LST
·  Perform Ongoing monitoring, sensitivity analysis, backtesting and other ad hoc reviews of the model and output analysis

Profile Required

Technical Skills:

·  Established knowledge in one or more types of funding or asset product lines (Deposits, Loans, Repo, FCM, Prime Brokerage)
·  Advanced quantitative and analytical skills
·  Proficient in applied mathematics and modeling
·  Skilled in programming using an Object-Oriented Language
·  Ability to translate technical modeling and business line anlaysis into various written formats, succinctly and clearly

Desired / Plus:

·  Data Analytics, Data Science, Statistics and time series analysis skills
·  Prior experience in either ALM / Treasury / Business line (e.g., Capital Markets or Loans) departments
·  Knowledge of IT modeling tool (FARMS)

Competencies:

·  Strong written and verbal communication skills with ability to interface with key partners
·  Leadership, project management, and effective liaison between business, quantitative research and technology teams.
·  Comfortable with organizational complexity, high pressure environments and rapid change

Experience Needed:

·  5 years of industry experience
·  Prior liquidity or capital stress testing, or IRRBB modeling

Educational Requirements:

·  Master's Degree in one of the following areas Business, Finance, Mathematics, Engineering, or Computer Science

Business Insight

The Finance Department(DFIN) of Global Banking and Investor Solutions (GBIS), is a global organization with local presence, providing the same set of services through global and efficient processes and consistent norms, leveraging on production hubs. Our Core Missions are: Quality and timeliness of GBIS financial statements; Assisting GBIS management and all Business Lines in their steering with actionable reports on financial performance and forecasts; Independent certification of all financial aggregates in particular the daily P&L explanation on Market Activities; Financial communication and constant benchmarking; Providing expertise on accounting, prudential and tax norms and ensuring the compliance of these norms.

DFIN's Asset and Liability Management Department (DFIN/ALM) in in charge of the following activities:

·  Maintains and provides Liquidity Expertise for the Region
·  Liquidity model ownership, including model design and calibration (first line of defense)
·  2 nd level review and explanation of Liquidity Dashboard and Reporting exposures – including regular presentation of the report to Management and the business lines
·  General Secretary of the ALCO – Ensures it is regularly held, prepared and properly minuted
·  Scarce Resources Steering – proposes and monitors liquidity targets and limits
·  Adherence to Liquidity Regulatory Requirements
·  Liquidity and funding risk management and execution
·  Conducts balance sheet monitoring, associated limit framework monitoring and structural risk monitoring
·  Reviews major strategic initiatives that would have significant impact on balance sheet structure and risk

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.

Job code: 2000013R
Business unit: SG Americas Securities
Starting date: 24/02/2020
Date of publication: 28/01/2020