Model Risk Management Jobs in Quebec (NOW HIRING)

The Americas Risk and Scarce Resources Counterparty Credit Risk team (RSR/CCR) acts as the 1st Line of Defense CCR risk team within MARK. The Risk Advisor covers:
 

• Agency Scope: Prime Services & Clearing (PSC) activities

• Principal Scope: Bilateral Trading Activities where any SG MARK Trading Desk is a Principal of the activity.

  The team is primarily responsible for the following areas:

Portfolio Analysis

Limit Recommendations

Client Margining

Risk Reporting & Monitoring

Limit Overshoot Management

Ensure that the risk limits remain in line with:

-        SG Risk Appetite

-        Changes in Clients risk profile

-        Scarce Resource targets (Profitability, RWA, Balance Sheet, LRE, NSFR, Cash, LCR)

Day-to-Day Responsibilities : 

Database Maintenance, Report Automation & Enhancements

• Create new Tableau dashboards for bespoke client and activity reporting

• Contribute to maintaining list of existing and new bespoke reporting and systematically and periodically reviewing for potential automation enhancement

Development of Risk Management Tools

• Drive multiple analytics projects and creates technical specifications for the industrialization of risk management prototypes in concert with partners.

• Suggest enhancements and participates in projects to enhance the productivity of the team.

• Participate in projects to enhance the risk framework

• Create various analytics dashboards as requested by management

• Automate various tasks and reporting as requested by management, senior members of the team or partners.

Bespoke Agency and Principal Client & Activity Monitoring / Reporting / Escalation

• Perform daily first level bespoke monitoring and reporting on agency and principal clients

• Perform daily first level bespoke monitoring and reporting on agency and principal activities

• Analyze, provide commentary and reporting / escalating as needed

• Participate in providing material to the relevant committees (e.g., Counterparty Credit Risk Committee "CCRC", Liquidity and Concentration Committee, etc.).

• Act as back up for intraday pnl reporting for holidays and outages

• Work with onshore team to create / produce portfolio level reporting and dashboards for weekly, monthly and quarterly committees

Sample Portfolios and Margin Impacts for Transfers

• For urgent and / or complex sample client portfolios, run various metrics including VAR, CMFST, margins for discussion and review with RSR coverage analysts

• Produce estimated margin impacts for transfers

Portfolio Analysis

• Perform and provide analyses on assigned clients

o   Client strategies and trading patterns

o   Risks in client portfolios: market risk (systemic, idiosyncratic or dislocation/basis risks), liquidity and concentration risks, wrong way risk, etc.

o   Margin coverage relevance

o   Margin period of risk relevance

o   Scarce resource usage if required.

• Identify emerging risks (market events, client-related early warnings) and escalates to RSR CCR onshore team, RISQ and Sales.

• Participate in implementing specific post-conditions (for example if a framework/a limit is approved with post-conditions) and/or exceptions if needed. Ensure such post-conditions and/or exceptions are monitored, annually reviewed and renewed.

• Ensure clients exposures are in line with global frameworks (e.g., financing envelopes for specific assets, CCP limits, etc.)

Risk Limits & Margining

• Propose new limits and / or renewals and margination regime on upcoming expired limits to RSR, Sales and Risk for assigned clients

Overshoot Management

• Comment overshoots and prepare remediation plans in concert with Front Office for FCC clients.

• Escalate potential client issues to RISQ and MARK senior management.

• Monitor margin disputes and aged/failed payments.

• Monitor Uncleared Margin Rule "UMR" regulatory overshoots for bilateral clients if applicable.

Competencies:

Required:

• Analytical capability and Problem solving: Able to break down complex problems into simple manageable units, develops solutions for each unit, and integrates them back into the whole. Can absorb ideas quickly and apply them pragmatically.

• Results oriented: participates in setting goals and meets deadlines to bring value to FCC and MARK while maintaining high quality work product and safeguarding the bank.

• Interpersonal effectiveness: is self-aware of own behavior and work style, as well as tolerant of different needs and viewpoints. Demonstrates interest, consideration and respect in others opinions.

• Communication Skills: excellent verbal, writing and presentation skills with the ability to interact with stakeholders and ability to relay complex technical concepts to both technical and non-technical audiences. Ability to present and escalate issues to Senior Management.

• Organized, detail oriented and eager to learn.

Technical Skills & Knowledge:

Required:

• Solid knowledge of financial markets and financial products.

• Strong communication skills

• Good knowledge of risk measurement techniques: VaR models, Stress Testing, Greeks.

• 1-3 years Counterparty Risk monitoring / credit experience

Desired:

• Programming in Python and SQL.

• Familiar with databases and business intelligence (e.g., Tableau, Power BI, etc.)

• Object oriented programming, API, Threading, Front end (angular/react), Java.

• Good knowledge of Excel.

Qualifications (Experience & Education):

Required:

• Bachelor's degree in Finance, Economics, Computer Science, Engineering or Mathematics.

• 5-7 years in risk management, preferably in market risk, model risk or hedge fund risk.

• Must be a self-starter and be able to operate independently in a fast-paced environment.

• Proven change management abilities.

Desired:

• Master's degree

• Good knowledge of Prime Brokerage and Hedge Funds

LANGUAGE: 

Ability to communicate in English, both orally and in writing, is a requirement as the person in this position will need to collaborate regularly with colleagues and partners in the United States. 

Due to US Federal Securities law that may apply to this position, candidates who will apply for this position may be required to submit to an enhanced background screening, including the collection of their fingerprints by a third-party vendor selected by the Financial Industry Regulatory Authority ("FINRA").