The Auditor will include leading US model risk audits including: the risk management framework / governance and related regulatory requirements (e.g. FRB SR 11-7); technical review of model implementation, review of model development, and review of mode use test. The model families reviewed include pricing/valuation models, market risk models, credit risk models, liquidity risk models and compliance models etc. In addition, the Auditor will contribute to the regular audits of SG’s trading and sales activities across all asset classes.
The Auditor’s primary responsibility is to lead audit assignments. He/she is expected to have a high degree of technical proficiency, autonomy and the ability to oversee and monitor the work of their team. He/she should be able to run larger and complex audits with minimal supervision or oversight. Some responsibilities will include, but not limited to:
- Independently, leading various types of audit missions (including complex, global, multi-team/integrated, etc.,) overseeing all aspects of the audit process and having full ownership of the audits assigned
- Preparing high quality and impactful audit reports, especially executive summaries that effectively address the key issues to be raised to management’s attention
- Actively participating in department’s continuous monitoring programs - understands the ongoing changes in internal and external environment related to specific audited activities and evaluates the impact of changes on the business and company
- Participating in various stages of the annual risk assessment and providing professional conclusions on the risks' evaluation
- Participating in department wide transformation projects and actively contributing, communicating and implementing the changes, and supporting others through the process
SKILLS AND EXPERIENCE (REQUIRED)
- Have deep understanding and knowledge of model risk related regulations, including SR 11-7, SIMM.
- Strong knowledge with different modelling approaches to review models, such as stochastic calculus, partial differential equation, Monte-Carlo simulation, machine learning, linear regression, logistic regression, decision tree, time series, optimization etc.
- Experiences developing/validating/auditing in one or several of the following commonly used models in banks: PD/LGD, Pricing Models, Internal models such as Var and Counterparty Risk models, Liquidity Risk models, Stress Testing models, Anti-Money-Laundering models and other compliance models
- 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
- 5+ years of work experience in model risk management in financial services
- Work experience in model risk audit or model validation in consulting firms/investment banks
- MBA/Master's degree in Applied Mathematics/Finance Engineering field
Desired / Plus:
- Work experience in relevant quantitative business or risk management function within corporate/investment bank
- Certifications/Licenses: CIA, CPA, CIDA, CAMS, CFA, FRM, Series 7, 63