About the role

Lead Auditor - Business Audit (Market Model Audit)

Responsibilities:

1) Being a contributor to the audit life cycle from planning to testing, reporting and closure of recommendation under the guidance of the Head of Mission/Senior Auditors, and assist audit management in execution of Audit plan. The audit work performed should comply with prescribed quality and timelines. Shared services missions may involve onshore travel.
2) Work on model audits of varied complexity and validating models in accordance with SR 11-7 standards.
3) Assess the remediation of regulator and audit identified issues
4) Responsible for working independently on complex model audit
5) Assess inherent, control and residual risks with expertise in modeling practices, techniques, and validation processes as well as risk management strategies and data analytics.
6) Interact with various lines of business and control functions to understand relevant aspects of model development, validation, governance, and use.
7) Evaluate model documentation / validation reports and document results
8) Assist supervisors in Risk assessment exercise and preparation & delivery of audit plan.
9) Ensure effective and efficient execution of audits in conformance with professional and departmental standards, budgets, and timelines.
10) Maintains clear work papers and audit trail of the work done in the audit tool, in accordance with prescribed audit methodology.
11) Responsible for documentation of formal and clear audit findings in order to communicate audit results to management.
12) Responsible for timely follow up and closure of open recommendations and escalate where necessary.
13) Support new auditors in the team on individual audits
14) Participate in quality initiatives of the Audit Department
15) Makes appropriate recommendations to improve SG processes.
16) Stakeholder management as a part of Continuous audit monitoring (CAM)
17) Research relevant banking, regulation, risk management, and operational topics.

The Auditor should be able to autonomously work on model audits with focus on:

Identify and evaluates the conceptual soundness of the pricing ( Stochastic Fixed income and equity models) and market regulatory models (FRTB, VAR,IRC,CRM…) along with assumptions and limitations
Evaluate the implementation of the model by independent replication of model using SG pricing library.
Assess the performance of the model by independently performing the calibration tests, degeneracy tests in case of exotic payoffs, benchmarking and various sensitivity tests covering stress scenarios.
Review the quality of the input data by checking arbitrage free conditions and by liaising with various stakeholders such as IPV and data control teams to ensure data adequacyEvaluate the model usage by verifying the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,
Formulate recommendations, which contributes to the improvement of the model as per SR-11-7 standards

Profile Required:

Required skills:

· Master's or Ph.D. in a quantitative discipline such as mathematics, statistics, Finance, or physics

· Having 7+ years of experience in Pricing and Regulatory market model development or Validation

· Having excellent mathematical skills including stochastic calculus, numerical methods (PDE and Montecarlo)

· Knowledge of OTC derivative products(including exotics and Hybrids) across multiple asset classes (Equity ,IR and FX)

· Having FRM, CFA or CQF certification is an added advantage

· Knowledge specific to Market regulations like FRTB, ECB and CFTC are an added advantage

Technical skills:

• Experience with regulatory capital models, pricing models, stress testing, and loss forecasting models including some of the following: stochastic calculus, finite difference methods, Monte Carlo simulation, etc.
• Good understanding of financial markets.
• Experience in one of R, SAS, C++, MatLab, Java (Desirable), Python.
• Knowledge and experience of risk, modeling, and capital management requirements and processes.
• Expertise in development or Validation of Credit risk models such as PD and LGD in the context of regulatory framework.
• Understanding of risk frameworks like Basel II – (A-IRB and IRRBB), Basel III - Liquidity Ratios, stress testing, etc.

Functional skills:

Good understanding of Audit lifecycle from planning to closure of recommendations. Prior experience of performing controls testing and working with fair amount of autonomy.

Sound understanding of Risk based audit methodology, risk assessment and audit planning.

Produce good quality statement of findings and ability to synthesis clear and concise thematic opinions.

Ability to work on multi location/global audit with large and diverse teams

Ability to work well with and communicate with others, from teammates to executives, and to present findings to upper level management and executives.
Ability to manage multiple work efforts and to quickly change direction as needed..

Sound understanding/exposure on quality initiatives within audit function.

Fluent Command over English language (oral as well as written)

Knowledge of Data Analytics would be an added advantage

Behavioural skills:

Result Orientation and time management

Client Focus

Contribution to Strategy

People Development

Change management

Cooperation

Team Leadership

Ability to work with diverse teams/Team player

Conflict management

Specific Context

The model risk audit team will contribute to the group’s internal audit team (IGAD) covering enterprise-wide model risk. Within the model risk audit team, the Market risk model Audit team in is charge of auditing predominantly pricing, valuation and regulatory market risk models present in the Bank. The team will perform in-depth analyses of models from quantitative and qualitative perspective. This job has high visibility and can add a lot of value to the organization’s control environment and impart confidence to the regulators. The Job will involve high degree of exposure to Front office trading desks, Quantitative strategy team and will require international travel.

Environment

At Société Générale, we are convinced that people are drivers of change, and that the world of tomorrow will be shaped by all their initiatives, from the smallest to the most ambitious.
Whether you’re joining us for a period of months, years or your entire career, together we can have a positive impact on the future. Creating, daring, innovating and taking action are part of our DNA.
If you too want to be directly involved, grow in a stimulating and caring environment, feel useful on a daily basis and develop or strengthen your expertise, you will feel right at home with us!
Still hesitating?
You should know that our employees can dedicate several days per year to solidarity actions during their working hours, including sponsoring people struggling with their orientation or professional integration, participating in the financial education of young apprentices and sharing their skills with charities. There are many ways to get involved.

“ Commitment and adherence to ESG practices of the organisation and endeavour to reduce the carbon footprint and sustainable practices ”