Lead Auditor - Business Audit (Market Model Audit)
Societe Generale Global Solution CentreBengaluru, Karnataka, India13 hours ago
Job descriptionMaster's or Ph.D. in a quantitative discipline such as mathematics, statistics, Finance, or physics Having 10+ 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 CQF certification is an added advantage Knowledge specific to Market regulations like FRTB, ECB and CFTC are an added advantage Ability to work in a team : integrate, adapt, and share information Possess good presentation and documentation skills
Responsibilities :
- 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 adequacy
- Evaluate 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
- Prepare high quality audit deliverables including working papers and finding sheets.
- Write formal & clear reports to communicate audit results to management
- Assists audit management in preparation & execution of the audit plan
Required Skills :
Soft skills :
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Lead Auditor • Bengaluru, Karnataka, India
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