Lead Expert - Model Development/Calibration

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

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!

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Diversity and Inclusion

We are an equal opportunities employer and we are proud to make diversity a strength for our company. Societe Generale is committed to recognizing and promoting all talents , regardless of their beliefs, age, disability, parental status, ethnic origin, nationality, gender identity, sexual orientation, membership of a political, religious, trade union or minority organisation, or any other characteristic that could be subject to discrimination.