Senior Analyst - Model development

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

ROLE DESCRIPTION KEY SKILLS:

• Knowledge of 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

LEADERSHIP SKILLS: Client Focus, Team Sprit, Commitment, Responsibility and Innovation