Senior Auditor - Business Audit (Credit Model Audit)

Responsibilities :

• Identifies and evaluates the risks inherent in the use of models both from a methodological and a global governance point of the model (input quality, modeling assumptions, quality and use of model outputs, existence, respect and relevance of the internal procedures relating to the model and its validation)
• analyzes the relevance of the hypotheses used to construct the models, the choices and the methods of estimating the parameters, as well as the adequacy to the current economic and financial context ("back-testing"),
• discusses the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,
• defines areas for improvement, formulates recommendations and contributes to the monitoring of their implementation
• Prepare high quality audit deliverables including working papers, finding sheets and audit reports and present the results to various levels of Internal Audit leadership, as well as the business organization.
• Maintain effective working relationship with key stakeholders responsible for modeling processes and model risk management

Required Skills :

Master's or Ph.D. in a quantitative discipline such as mathematics, statistics, operations research, physics, or economics.

Having 8+ years of experience in development / Validation regulatory (Basel 2) credit risk models

Expertise in development or Validation of Credit risk models such as PD and LGD in the context of regulatory framework.

Understanding of risk frameworks like Basel, IFRS9 etc

Soft skills :

Autonomy

Ability to work in a team : integrate, adapt and share information

Rigor, reliability and toughness

Oral and written communication, assertiveness, relational

Ability to popularize messages

Ease of writing

Why Join Us

“We are committed to creating a diverse environment and are proud to be an equal opportunity employer. All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status”.