Consultant Expert - Model Risk Management

Description:

About the job:

As part of the SG GSC RISQ Department, you will be at the center of Société Générale business. The SG GSC RISQ Department aims to contribute to the development of business lines and their profitability through a challenging risk culture.

Working within the SG GSC RISQ Department is intellectually stimulating, and current economic activities guide our analysis on a daily basis. As a key business partner, the department is in close proximity to all of the Groups business lines. Joining us would mean integrated into a network of proven excellent at the very center of banks activities, opening access to new and exciting development opportunities.

Within the SG GSC RISQ department, Model and Data Science (MOD) team is responsible for development, calibration and monitoring of regulatory credit risk (PD, LGD and EAD) and provision (IFRS9) models.

ROLE SUMMARY:

Conduct end to end model calibration and monitoring for regulatory credit risk (PD, LGD and EAD) and provision (IFRS9) models.

ROLE DESCRIPTION:

- Apply domain expertise (Basel/IFRS9) in model calibration/monitoring activities

- Manage intermediate level case studies and challenges with minimal supervision

- Perform root-cause analysis and resolve any team hurdles

- Identify, develop and implement process and project enhancements

- Know upstream and downstream processes

- Represent and contribute to internal forums and Market intelligence & Innovation

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:

- Proven functional and domain proficiency in Basel and IFRS9 models

- Strong programming knowledge in SAS and R languages

- Hands on experience in IFRS9 and/or Basel model calibrations

- Demonstrated strong communication, negotiation, interpretation and problem-solving skills

- Ability to guide juniors team members on projects