Lead Auditor - Business Audit (Market Model Audit)

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 :