Auditor - Model Risk, Sr. Associate/Vice President

Permanent contract|New York|Audit

Auditor - Model Risk, Sr. Associate/Vice President

New York, United States Permanent contract Audit


SGIAA Department is looking to complement the team with driven individuals, who enjoy working in a fast-paced environment, are innovative and prepared to generate new ideas and “go the extra-mile” in achieving a common goal. Joining SGIAA will give you a unique opportunity to not only work on audit missions, but also to participate in department-wide projects aimed at transforming the team to the best in class. For those who succeed, future opportunities include career growth within/outside department including international mobility

Profile required


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).


Technical Skills:

  • 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

Business insight

The Inspection and Group Audit Division (IGAD) represents Societe Generale’s independent internal audit function, comprised of over 1200 professionals covering SG’s global businesses and services in over 80 countries. The SG Internal Audit Americas (SGIAA) Department within IGAD is a group of about 80 professionals, based in New York, New Jersey, San Paulo and Bangalore, who are responsible for assessing SG’s multiple businesses in the Americas region.

We are an equal opportunities employer and we are proud to make diversity a strength for our company. Societe Generale is committed to recognizing and promoting all talents, regardless of their beliefs, age, disability, parental status, ethnic origin, nationality, sexual or gender identity, sexual orientation, membership of a political, religious, trade union or minority organisation, or any other characteristic that could be subject to discrimination.

Reference: 20000I96
Starting date: immediate
Publication date: 2020/09/14