SG
Location
Rueil Malmaison, Hauts de Seine | France
Job description
The Ayvens Modelling Specialist is part of the modeling team “Risk Modeling & Analytics “ within Ayvens Risk Department and reports to the Deputy Head of modeling team. He/she will contribute to building up the modelling expertise within Ayvens with the focus on the credit risk models.
He/she will be responsible for developing/supervising models within the scope of the team and will be in charge of model life cycle of the 1st line of defense, in liaison with the SG teams for the regulatory models and the Ayvens teams in charge of the different competencies (business, data, IT etc.) ie:
o Initiate the development of the models,
o Develop the models,
o Supervise the implementation and use of the models in conjunction with the teams in charge at SG and Ayvens,
o Test the performance of the models (on-going monitoring),
o Remediate the recommendations on models (from the 2nd line of defense, internal audit and the supervisor).
The models in the scope will be the following
- Pillar 1 models
- IFRS9 models
- Credit scorecards
In the context of the merger with LeasePlan and the creation of Ayvens, the Modelling Specialist will be responsible for actively contributing to the operational merger in accordance with the defined TOM (Target Operating Model).
Behavioral skills :
The Modelling Specialist will accomplish the modeling projects with the following focus:
- Respect for commitments (planning, quality, rigor),
- Collective work and sharing common values,
- Knowledge of the business underlying the models developed.
You will contribute to the innovation and transformation of the team in the context of Ayvens and the merger with LeasePlan:
- Optimization of the model development process,
- Appropriation of new technologies (Machine Learning, automatic production of models, dataviz, ...),
- Proposal for extension of the scope (new models, ...).
You will contribute to the development and implementation of Ayvens's strategy by making proposals, in particular in response to requests from the ECB and regulatory requirements relating to modelling
You will communicate with the various stakeholders and represent the modelling to third parties at Ayvens.
Technical skills :
- Excellent knowledge of the regulations applicable to modelling (Model Risk Management) and regulatory requirements (IRB, IFRS9, FINREP/COREP, ICAAP etc.).
- Experience in defining and implementing regulatory and non-regulatory credit risk models,
- Strong statistical skills (calculation of PD, LGD, EAD...),
- Strong skills in managing the risks underlying modelling,
- Previous experience in building up and monitoring modelling systems within the Société Générale group is a plus.
- Experience with the specificities of leasing is a plus.
Language skills:
- Fluent English
Job tags
Salary
