Quantitative Advisor-Model Risk Management

Societe Generale; Montreal (administrative region); On-site; CAD 70,000 - 90,000; Full time

Benefits offered by this job

Minimum of 20 Vacation days + 4 personal days

Supportive maternity, paternity, parental and adoption leave policy

Health spending accounts with eligible reimbursement categories

Job summary

Societe Generale in Montreal is looking for a talented analyst to monitor and enhance pricing models for the Global Markets Division. The position demands strong quantitative skills and offers competitive benefits, including generous vacation days and health spending accounts.

The ideal candidate will have a Master’s degree in a relevant field and at least 2 years of experience. Proficiency in Python, R, and C++/C# is crucial. Join us in delivering top-tier investment and risk hedging solutions.

Qualifications

• Strong understanding of pricing models, margining models, and risk metrics.
• 2+ years of experience in a similar role with a strong quantitative background.
• Proficiency in programming languages such as Python, R, and C++/C#.

Responsibilities

• Monitor accurately and promptly the pricing and margining models.
• Continuously improve existing monitoring methodologies.
• Implement innovative solutions to streamline and optimize the monitoring process.

Skills

Strong understanding of pricing models

2+ years of experience in a similar role

Proficiency in Python, R, C++/C#

Strong analytical skills

Excellent communication and interpersonal skills

Master’s degree in Quantitative Finance or related field

Education

Master’s degree in Quantitative Finance, Mathematics, Statistics, Computer Science

Job description

Within Societe Generale Corporate & Investment Banking, the Global Markets Division brings together the Research, Investment and Risk Management Solutions, Execution and Clearing, Prime Services, Equities, Fixed Income, Futures and Currencies & Commodities structuring capabilities with the objective of providing investors with one integrated multi-asset market solutions team. The business uses an advisory and innovation mindset, focused on client needs, with a global leader in financial markets engineering. Global Markets is a leading player in derivatives, with unrivaled over the counter and listed derivatives expertise, as well as cross-asset and economic research. Our prime services' offering is a unique combination of execution, clearing, custody and financing services.

The Global Markets Division provides investment and risk hedging solutions to its corporate and institutional clients. The person will join the R&D group and will be based in Montreal. This group is responsible for developing, implementing, and maintaining analytics, pricing, and risk-management tools for SG. Reporting directly to the local Head, the individual will concentrate on Model Risk Management (MRM) topics.

In this Front Office role working in accordance with the SR 11-7 regulation, SG must continuously review the conceptual soundness, accuracy, and implementation methods of its quantitative models. Throughout the model’s lifecycle, the Risk team issues a list of recommendations classified by different levels of criticality. Within the ARD framework, the MRM team is tasked with implementing and addressing these recommendations across the AMER region.

What will be your DAY-TO-DAY?

• Monitor accurately and promptly the pricing and margining models for the AMER branch.
• Continuously improve existing monitoring methodologies to enhance accuracy and efficiency.
• Implement innovative solutions and best practices to streamline and optimize the monitoring process.
• Participate in the oversight of the SIMM model and other risk metrics managed by the Global Markets Department.

In this role, you will:

• Work with global stakeholders to design solutions, develop coding architectures, and implement controls addressing quantitative recommendations from audits, RISQ, or regulatory bodies.
• Contribute to thorough and precise documentation of pricing models.
• Support the certification of pricing models, ensuring appropriate model ratings.
• Guarantee that all documentation complies with internal standards and regulatory requirements.

Skills and Qualifications:

Must Have:

• Strong understanding of pricing models, margining models, and risk metrics.
• 2+ years of experience in a similar role with a strong quantitative background.
• Proficiency in programming languages such as Python, R, and C++/C#.
• Strong analytical skills with exceptional attention to detail.
• Excellent communication and interpersonal skills to collaborate effectively with cross-functional teams and stakeholders.
• Master’s degree in Quantitative Finance, Mathematics, Statistics, Computer Science, or a related field.

Languages:

French and English

Legal Requirements:

Ability to communicate in English, both orally 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”).

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.