Consultant Expert - Model Validation

Societe Generale Global Solution Centre; Bengaluru; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

Societe Generale Global Solution Centre in Bengaluru is seeking a Consultant Expert-MRM responsible for strengthening regulatory and accounting requirements related to risk model supervision. This role includes conducting internal model reviews and ensuring compliance with Basel and IFRS norms. Candidates must have a post-graduation in a quantitative discipline and be well-versed in credit risk model development and monitoring. Strong skills in SAS and R are required.

Qualifications

• Well versed in credit risk model development, validation, and monitoring (PD, LGD, EAD).
• Exposure to banking book, trading book products, BASEL/IFRS knowledge.
• Excellent business communication skills.

Responsibilities

• Lead and contribute to annual validation missions.
• Conduct quantitative reviews and ensure regulatory compliance.
• Analyze and test methods using technical knowledge.

Skills

Credit risk model development

Validation

Monitoring

Regulatory compliance

Statistical analysis

Education

Post-graduation degree in a quantitative discipline

Tools

SAS

R

Job description

Responsibilities

Consultant Expert‑MRM responsibilities revolve around strengthening regulatory and accounting requirements related to risk model supervision and monitoring. The role includes conducting internal model reviews (validation, back‑testing, etc.) for models developed by the Group’s modeling entities.

Main missions:

• Lead and contribute to annual validation missions, based on planning and framework.
• Interact with modeling entities.
• Analyze and test methods using technical knowledge and critical thinking.
• Conduct quantitative reviews (statistics).
• Ensure regulatory compliance, model robustness and performance.
• Contribute to validation reports to communicate conclusions.
• Ensure adequate documentation and archiving of analyses.

Additional topics include retail or wholesale credit risk (PD, LGD, EAD), operational risk, market risk (VaR, SVaR, FRTB, EEPE, CVA, SIMM, IRC/CRM), IFRS 9 models, and US regulatory models.

Ongoing Model Monitoring

The model monitor is responsible for continuous analysis and controls to assess model efficiency and adequacy throughout the model lifecycle (development, implementation, use). This includes:

• Back‑testing each model under Basel & IFRS norms.
• Performing model outcome analysis (back‑testing, stability, benchmarking, sensitivity).
• Analyzing model output and components.
• Validating assumptions and limitations.
• Assessing benchmarking and sensitivity results.
• Monitoring metrics (ROC/AUC, KS, Gini, etc.) over time.
• Establishing thresholds and action plans for deviations.
• Reporting analysis to stakeholders.
• Implementing governance for corrective actions.

Required Qualifications

Profile required: well versed in credit risk model development, validation, and monitoring (PD, LGD, EAD) for wholesale and retail credit portfolios per regulatory guidelines. Exposure to banking book, trading book products, BASEL/IFRS knowledge, and excellent business communication skills are highly desirable.

Educational requirements: Post‑graduation degree in a quantitative discipline (Statistics, Economics, Mathematics, Engineering) from Tier I/II colleges; certifications in machine learning techniques or credit risk parameter estimation preferred.

Technical Skills: regulatory risk model validation and monitoring (IRB, IFRS 9) using SAS, R. Intro to machine learning validation.

Functional Skills: knowledge of BASEL II/III & IFRS 9, risk management and quantification processes, understanding of credit, market, operational, and model risk.

Behavioral Aspects

• Result orientation
• Client focus
• Contribution to strategy
• Cooperation
• Team player

Equal Opportunity

We are committed to creating a diverse environment and are proud to be an equal‑opportunity employer. All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status.