About the role
ROLE SUMMARY:
The role is of an Expert for the SG GSC RISQ/MOD team working on model calibration/monitoring missions. The objective is to provide domain expertise to ensure on-time and quality deliverable of model development/calibration/monitoring missions, and coordination with Group RISQ/MOD team. The specific role description being:
· Calibrate/Monitor 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 calibration/monitoring (PD, LGD, EAD) from data exploration to report writing
· Propose project plan, including plan of calibration/monitoring to be carried out for the missions
· Deliver calibration missions within agreed timelines, with desired quality benchmarks
· Ensure adherence to Group standards on development and Regulatory guidelines
· Manage interactions with Société Générale Group model development team and business teams
· Prepare a report to communicate results and findings from the development/calibration missions
· Present the model and findings to stakeholders
All these elements shall be included in the “Equilibre de Vie au Travail” framework (quality life
at work) and leads to a 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:
· 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
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
·Knowledge 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