The model risk auditor will contribute to the group’s internal audit team covering enterprise-wide model risk.
Within the IGAD, the Model Audit team in is charge of auditing all the quantitative models present in the Bank.
To this end, the team can carry out autonomous audits or provide its quantitative expertise to the missions of the Inspection as well as to that of local Audits. These missions of control and / or consultancy with high added value cover all the activities of the Société Générale Group in France and abroad.
The team's interventions and autonomous missions focus on:
- methodologies for calculating capital requirements for Basel models 2 through IRBA processes
- the models for the granting of consumer credit used in retail banking.
- the valuation models of accounting provisions in accordance with IFRS 9
- the methodologies used for risk management,
- models for the valuation of derivatives used in corporate and investment banking,
- liquidity and IRBB models used in ALM,
- Actuarial models used in insurance
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 various aspects of investment banking and will require international travel.
The candidate will assume the following responsibilities:
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