Quant jobs / Société Générale

Quantitative Analyst – IFRS 9 Credit Risk Modelling (PD)

A modelling role in the bank's risk data science team in La Défense, building and monitoring wholesale probability-of-default models used for IFRS 9 provisions. The models are reviewed by internal audit and regulators.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Design, calibrate and monitor IFRS 9 PD models for wholesale portfolios
Run impact studies and consistency checks on risk parameters
Work with business users and data teams on the data models need
Write model documentation
Prepare studies for auditors and management

What they ask for

Required

Statistical and probabilistic modelling
PD model development
Data science techniques
SAS, Python or R
Credit risk understanding
French and English (at least B2)

Education: Not stated
Experience: At least 6 months (an internship counts) in credit risk modelling
Languages and tools: SAS
Python
R
Markets: credit

How to prepare

Build a lifetime PD model with macroeconomic scenarios for IFRS 9
Learn staging rules, ECL formulas and how forward-looking information is applied
Practise calibration and back-testing of PD curves in Python or R
Read how auditors and regulators challenge provisioning models
Write a short methodology note for a model you built

What to study

The Risk Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Société Générale’s site before applying: requirements, location and pay can change after we check them.

View the posting on Société Générale’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Société Générale and doesn’t handle applications.