TASKS AND RESPONSIBILITIES
The AUDITOR, Associate in the Market Activities (MARK) Model Audit Team is expected to make key contributions to Audit’s regular assessment of the adequacy and effectiveness of SG’s model risk management program. This will include leading US model risk audits, including: the risk management framework / governance and related regulatory requirements (e.g. FRB SR 11-7); technical review of model implementation, technical review of model development, and review of mode use test. The model families to be reviewed are very diverse, including pricing/valuation models, market risks models, credit risk models, liquidity risk models and compliance models etc. We expect the candidate to able to coordinate effectively with Paris model audit team, both in terms of methodology and in terms of scope/coverage determination. In addition, the Auditor will contribute to the regular audits of SG’s trading and sales activities across all asset classes.
The Auditor’s primary responsibility is to lead audit assignments. He/she is expected to have a high degree of technical proficiency, autonomy and the ability to oversee and monitor the work of their team. He/she should be able to run larger and complex audits with minimal supervision or oversight. Some responsibilities will include, but not limited to:
Independently, leading various types of audit missions (including complex, global, multi-team/integrated, etc.,) overseeing all aspects of the audit process and having full ownership of the audits assigned
Preparing high quality and impactful audit reports, especially executive summaries that effectively address the key issues to be raised to management’s attention
Actively participating in department’s continuous monitoring programs - understands the ongoing changes in internal and external environment related to specific audited activities and evaluates the impact of changes on the business and company
Participating in various stages of the annual risk assessment and providing professional conclusions on the risks' evaluation
Participating in department wide transformation projects and actively contributing, communicating and implementing the changes, and supporting others through the process
Candidates must have the ability to travel for periods of 1-3 weeks when required (USA, Europe).
SKILLS AND EXPERIENCE (REQUIRED)
Have deep understanding and knowledge of model risk related regulations, including SR 11-7, SIMM.
Strong knowledge with different modelling approaches to review models, such as stochastic calculus, partial differential equation, Monte-Carlo simulation, machine learning, linear regression, logistic regression, decision tree, time series, optimization etc.
Experiences developing/validating/auditing in one or several of the following commonly used models in banks: PD/LGD, Pricing Models, Internal models such as Var and Counterparty Risk models, Liquidity Risk models, Stress Testing models, Anti-Money-Laundering models and other compliance models
Familiar with the one or several of the following programming languages: SAS, Matlab, R, Python, C++, etc.
Master's degree in Applied Mathematics/Finance Engineering field
Highly motivated and committed to lead and progress; shows initiative, integrity, and creativity
Demonstrates curiosity, motivation, enthusiasm for learning and self-development with high level of independence and autonomy
Demonstrates strong organizational/project management skills, able to establish goals, priorities, and realistic plans that maximize use of available resources; able to meet all deadlines; able effectively delegate, make decisions, solve difficulties and timely escalate issues
Demonstrates willingness and readiness to provide support and collaborate to promote team spirit
Establishes relationships with junior team members; actively coaches, provides training, shares knowledge, feedback and support
Demonstrates openness to new ideas; able to propose and actively initiate process improvement
Demonstrates a high level of written and oral communication skills through audit reports, meetings and presentations
Able to maintain effective relationships with auditees and audit counterparts and facilitates conflict resolution
Demonstrates strong analytical skills, able utilize data analytics tools to extract and analyze data
5+ years of work experience in model risk management in financial services
Work experience in model risk audit or model validation in consulting firms/investment banks
MBA/Master's degree in Applied Mathematics/Finance Engineering field
Desired / Plus:
Work experience in relevant quantitative business or risk management function within corporate/investment bank
Certifications/Licenses: CIA, CPA, CIDA, CAMS, CFA, FRM, Series 7, 63
Languages (Other than English): French