Expert - 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 Societe Generale 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