Lead Expert - Model Development/Calibration

Societe Generale Global Solution Centre; Bengaluru; On-site; INR 3,600,000 - 7,200,000; Full time

Job summary

Societe Generale Global Solution Centre in Bengaluru seeks a Consultant Expert to lead regulatory credit risk model development efforts. You will calibrate and monitor IFRS9/Basel models, work across PD, LGD, EAD, and coordinate with Group RISQ/MOD to ensure on-time delivery.

You will continuously research advanced modelling techniques, discuss results with stakeholders, and mentor junior experts while ensuring compliance with regulatory and internal standards.

Qualifications

• 7+ years of experience in model development of regulatory credit risk models.
• Knowledge of Time series, Regression, Optimization, Markov chain, Smoothening.
• Programming in SAS and/or R.
• Excellent written and oral communication skills in English.

Responsibilities

• Develop/calibrate IFRS9 or Basel models following Group framework.
• Improve models with latest methodologies while meeting regulatory constraints.
• Handle end-to-end model development (PD, LGD, EAD) from data to report.
• Propose project plans including calibration/monitoring steps.
• Conduct business reviews and analyze risks to propose improvements.

Skills

Model Development

SAS

R

English communication

Education

Masters or PhD in quantitative field

Tools

Python

Job description

Responsibilities

ROLE SUMMARY

The role is of Consultant Expert for the SG GSC RISQ/MOD team working on model development missions. The objective is to provide domain expertise to ensure on-time and quality deliverable of model development/calibration/monitoring missions, and coordinate with Group RISQ/MOD team. The specific role description being:

• Develop/calibrate IFRS9 or BASEL models by adhering to Group framework
• Continuously improve the models and research on latest modelling methodology and best industry practices, while meeting all regulatory and data constraints
• Work on end-to-end model development (PD, LGD, EAD) from data exploration to report writing
• Propose project plan, including plan of calibration/monitoring to be carried out for the missions
• Ability to conduct business reviews and recommend improvements by analyzing business risks, efficiency and quality
• Challenge and recommend the existing process enhancements with the complete functional knowledge on upstream and downstream processes.
• Proven expertise in analyzing root cause and providing solutions for residual risks at value chain.
• Continuous upskilling of industry knowledge and address any new business or product launch queries.
• Contribute to the Global Expert community of value chain.
• Train experts and lead experts in the team.

All these elements shall be included in the “Equilibre de Vie au Travail” framework (quality life at work) and leads to performance evaluation. Ensure that all activities and duties are carried out in full compliance with regulatory requirements and internal policies and standards.

The qualifiers to perform the role are:

• 7+ years of experience in model development of regulatory credit risk models
• Knowledge of Time series, Regression, Optimization, Markov chain, Smoothening etc.
• Exposure to guidelines from European Regulators is desirable
• Programing knowledge in SAS and/or R
• Excellent written (documentation) and oral communication skills in English
• Consultative mindset and problem-solving approach

Required

Profile required

EDUCATIONAL QUALIFICATION

Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics or Finance, or a track record of performance that demonstrates this ability

ROLE QUALIFIERS

• Strong programming knowledge in SAS and R languages
• Hands on experience in IFRS9 and/or Basel model calibration/development/monitoring
• Demonstrated strong communication, negotiation, interpretation and problem-solving skills

LEADERSHIP SKILLS

Client Focus, Team Sprit, Commitment, Responsibility and Innovation

ROLE DESCRIPTION KEY SKILLS

• Experience in development/monitoring/calibration of provision (IFRS9)/BASEL models
• Knowledge of Time series, Regression and Optimization, Markov Chain methods
• Programing knowledge in SAS and R/Python
• Exposure to guidelines from European Regulators is desirable
• Excellent written (documentation) and oral communication skills in English
• Candidate is expected to bring a consultative mindset and problem-solving approach

Why join us

"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”.

Business insight

At Société Générale, we are convinced that people are drivers of change, and that the world of tomorrow will be shaped by all their initiatives, from the smallest to the most ambitious. Whether you’re joining us for a period of months, years or your entire career, together we can have a positive impact on the future. Creating, daring, innovating, and taking action are part of our DNA. If you too want to be directly involved, grow in a stimulating and caring environment, feel useful on a daily basis and develop or strengthen your expertise, you will feel right at home with us!

Still hesitating?

You should know that our employees can dedicate several days per year to solidarity actions during their working hours, including sponsoring people struggling with their orientation or professional integration, participating in the financial education of young apprentices, and sharing their skills with charities. There are many ways to get involved.

We are committed to support accelerating our Group’s ESG strategy by implementing ESG principles in all our activities and policies. They are translated in our business activity (ESG assessment, reporting, project management or IT activities), our work environment and in our responsible practices for environment protection.