Model Validation Quantitative Advisor

The Model Risk Management (MRM) team embedded within the Risk Management function in SG CIB oversees model risk management. MRM is responsible for the second line of defense for model risk and supervises the model risk management function for the SG Americas regions (US, Canada, and Latin America).

In details, MRM’s main tasks are:

• The design of the SG Americas model risk management system, as well as its consistency, integrity, and compliance with regulatory provisions.

• The independent review of internal models within its scope. The independent review is carried out in accordance with the fundamental principles of the MRM system by extending the due diligence procedures to cover all model aspects required by the regulations (conceptual soundness, implementation, usage, ongoing monitoring of the model carried out by the first line of defense) and in accordance with the scope defined in the context of the oversight.

• Managing the model approval process within its scope.

• Monitoring of the models’ performance, effectiveness of the MRM framework, and the model business environment on ongoing basis, and risk management of the model portfolio, ensuring adherence to regulatory requirements.

As a Quantitative Advisor, the job of model validation involves independently assessing and verifying the accuracy, robustness, and regulatory compliance of models. This involves ensuring that models are conceptually sound, accurately implemented, and compliant with regulatory expectations, including those outlined in supervisory guidance such as the Federal Reserve’s SR 26-2. Key responsibilities include collaborating with risk owners and first-line teams, performing rigorous model testing and documentation, supporting ongoing monitoring, and preparing for regulatory reviews. Effective communication with senior management and validation committees is important to convey model risks and validation outcomes.

This role requires a strong background in quantitative risk management, with specific expertise in Credit risk modeling. Candidates should have experience in validating financial models, including model design, implementation, and performance testing. Knowledge of regulatory frameworks and supervisory guidance, such as SR 26-2 on model risk management, is essential to ensure compliance and robust validation practices.

WHAT WILL BE YOUR DAY-TO-DAY?

Under the supervision of the Head of Credit model validation, your primary role, as part of the second Line of Defense on Model Risk Management team, is to review the first Line of Defense modeling proposals. This includes, but not limited to, the following:

• Perform direct validation of local models developed and used within SG Americas and global models devel:

  • Conceptual Soundness: Evaluate soundness of model choices and assess the quality of model design and development. Challenge model assumptions, inherent limitations, and the potential impact of those limitations and issues on its outputs.
  • Model Use: Review and confirm that the identified usages align with the intended purpose, which includes adhering to established protocols for its application.
  • Model Implementation: Perform independent tests on the model (statistical tests, coherence tests, benchmarking, etc) to verify accurate implementation and confirm that the model operates consistently with its design as intended use. Review sensitivity analysis and tests performed, review controls and procedures in place.
  • Ongoing Monitoring and Outcome Analysis: Assess the mechanisms for ongoing model performance monitoring, issue identification, and risk management to ensure effective oversight, policy compliance. Ensure that the model remains reliable, relevant, and compliant throughout its lifecycle, this includes review risk mitigation measures, compensating controls, and risk acceptances.
  • Write validation reports comprising tests performed, validation conclusions and findings addressed to the first line of defense.

• In addition to performing direct validations of local models, review and assess the validations performed by 2LoD at the Group level in compliance with SR 26-2 standards.

This role involves close collaboration with the Group model validation team. It also requires interaction with various functions within the first line of defense as well as with the third line of defense (Audit). These interactions support the preparation for model validation in accordance with regulatory standards, as well as the ongoing review and monitoring of Models.