Model Risk Senior Auditor

Permanent contract|New York|Audit / Control / Quality

Model Risk Senior Auditor

New York, United States Permanent contract Audit / Control / Quality

Responsibilities

The Model Risk Senior Auditor in the Market Activities (MARK) Audit Team is expected to make key contributions to Audit’s assessment of the adequacy and effectiveness of SG’s model risk management (MRM) program. This will include leading US model risk audits, including: the market risk management framework, governance and related regulatory requirements (e.g., FRB SR 11-7 guidelines); technical review of model implementation, technical review of model development, and review of mode use test.  The model families to be reviewed are diverse, including pricing/valuation models, market risk models, counterparty credit risk models, and liquidity risk models. 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 Senior Auditor will contribute to the regular audits of SG’s trading and sales activities across all asset classes.

The VP’s primary responsibility is to lead risk centric audit assignments with focus on model and governance. The successful candidate is expected to have a technical proficiency (Python/R/Excel), project management skills, and autonomy/ability to oversee and monitor the work of their team. He/she should be able to run larger and complex audit missions with minimal supervision and/or oversight. Some of the responsibilities will include, but not limited to:

  • Independently lead variety of audit missions (including complex, global, multi-team/integrated, etc.) overseeing all aspects of the audit process and ownership of the assigned audits
  • Prepare high quality and impactful audit reports, especially executive summaries that effectively address the key issues to be raised to management’s attention
  • Actively participate in SGIAA’s continuous monitoring programs – develop an understanding of ongoing changes in internal and external environment related to specific audited activities and evaluate the impact of changes on the business and company
  • Participate in various stages of the annual risk assessment and providing professional conclusions on the risks' evaluation
  • Coach the staff to help develop their competencies, and provide formal feedback to team members that is objective, constructive and meaningful
  • Lead and participate in department wide transformation projects and actively contributing, communicating and implementing the changes, and supporting others through the process

Profile required

Technical Skills:

  • Demonstrate in-depth knowledge and understanding of banking products, financial services and industry, including the different trading products and activities, and the related risks (market, counterparty credit, liquidity, operational, regulatory, etc.) and controls 
  • Strong proven ability to use these skills to plan or execute audits using a risk-based approach (e.g., identify key risks and control points and suggest approaches for testing/sampling)
  • Have deep understanding and knowledge of model risk related regulations, including SR 11-7, SIMM and SR 15-18
  • Familiar with different modelling approaches, such as Monte-Carlo simulation, linear regression, logistic regression, decision tree, time series, optimization, etc. 
  • Strong skills/knowledge of MS Office Products
  • Familiarity with at least one of the programming languages: [R, Python, MATLAB, C++]

Competencies:

  • 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

EDUCATION/PRIOR EXPERIENCE 
Required:

  • Bachelor's degree in Business, Accounting, Engineering Finance, Economics or science 
  • 6+ years of work experience in financial services, or relevant risk management positions
  • Optional: Experience in managing the entire audit process
  • Work experience in model risk management, MRM audit or model validation in consulting firms/investment banks

Desired / Plus:

  • Experience in business or risk management function within corporate/investment bank
  • MS in financial engineering, MBA with quant focus, or PhD in hard science

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 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. 
 
SGIAA is currently 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.

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, 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: 22000NBV
Entity: SG AMERICAS OPERATIONAL SECURITIES
Starting date: 2022/10/03
Publication date: 2022/09/15
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