Quantitative Risk Analyst

Job description

Environment

Société Générale Capital Canada operates as an investment dealer regulated by the Investment Industry Regulatory Organization of Canada (IIROC) in the execution, clearing and prime brokerage services of listed and OTC derivatives, cash fixed income, foreign exchange and equities products. We also offer an energy trading portal for our clients, giving them access to energy futures & options, and OTC swaps. Société Générale Capital Canada is one of the top participants in Canadian equity markets, by volume, and in derivatives markets on both the Montreal Exchange and ICE Futures Canada, in terms of market share.

Societe Generale Group has been established in Canada since 1974 and has today more than 400 employees and consultants based in its Montreal, Toronto and Calgary offices.

Mission

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 SGCIB-oriented.

Day-to-Day Responsibilities:

Quantitative Model Validation Analyst in the Model Risk Management structure embedded within the Risk Management function in 2nd Line-of-Defense of SG Americas will:

• Lead and conduct independent model validation of relevant models that are used in SG Americas;

• Perform independent conceptual and theoretical review, benchmarking, independent implementation of the models employed.

• Quantifying model risk and reporting of the findings.

• Close interaction and collaboration with the model developers and technology teams in the First Line-of-Defense.

• Present and report model review conclusions to first Line-of-Defense managers, risk managers and executive management to exhibit identified model risks

• Create a body of knowledge of local and global regulatory requirements for model risk and be aware of market environment.

Desired profile

Profile

Requirements for the Quantitative Model Validation Analyst:

• Minimum of a Bachelors Degree in a quantitative area in Science, Technology, Engineering and/or Mathematics.

• 3+ years of experience in Model Development or Validation role.

• Working experience of building or working with modeling in risk management.

• Excellent mathematical and statistical ability to solve financial problems that require a quantitative approach.

• Excellent coding skills in a computer/statistical programming language (e.g. Python, R, C++...).

• Good communication skills with the ability to work with model developers, technology teams, and other internal risk management non-quant staff.

• Independently performs advanced quantitative analyses and model development to drive decision-making by running independent quantitative review-and-challenge strategies. Makes recommendations based on analyses.

• Analyzes and develops new model frameworks by supporting the line of business. Refines, monitors, and reviews existing models. Conducts on-going communication with model owners and model developers during the course of the review. Works with larger, more complex datasets to create challenger models.

• Performs quantitative analysis and develops complex reports. Performs qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Analyzes complex data and associated quantitative analysis. Makes recommendations based on findings from data analytics.

• Uses quantitative tools and techniques to measure and analyze model risks and reaches conclusions on strengths and limitations of the model.

• Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates.

• Knowledge of techniques, roles, and responsibilities in providing technical or business guidance to clients, both internal and external; ability to apply this knowledge appropriately to diverse situations.

• Knowledge of, experience with and ability to use the tools, processes and practices for predicting business trends and providing forecasts that drive business decisions and business planning.

• Understanding of effective communication concepts, tools and techniques; ability to effectively transmit, receive, and accurately interpret ideas, information, and needs through the application of appropriate communication behaviors.

• Knowledge of and ability to plan, implement and manage model testing strategies that assure the independent review and challenge of models.

• Knowledge of and ability to utilize tools, techniques and processes for gathering and reporting data in a particular department or division of a company.