Senior Auditor (Credit Risk Model/Market Risk Model)

Credit Risk

Technical skills:

Experience with regulatory capital models, pricing models, stress testing, and loss forecasting models including some of the following: stochastic calculus, finite difference methods, Monte Carlo simulation, etc.

Good understanding of financial markets.

Experience in one of R, SAS, C++, MatLab, Java (Desirable), Python.

Knowledge and experience of risk, modeling, and capital management requirements and processes.

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 II (A-IRB and IRRBB), Basel III - Liquidity Ratios, stress testing, etc.

Functional skills:

Good understanding of Audit lifecycle from planning to closure of recommendations. Prior experience of performing controls testing and working with fair amount of autonomy.

Sound understanding of Risk based audit methodology, risk assessment and audit planning.

Produce good quality statement of findings and ability to synthesis clear and concise thematic opinions.

Ability to work on multi location/global audit with large and diverse teams.

Market Risk Model Audit

Technical skills:

Experience with regulatory capital models, pricing models, stress testing, and loss forecasting models including some of the following: stochastic calculus, finite difference methods, Monte Carlo simulation, etc.

Good understanding of financial markets.

Experience in one of R, SAS, C++, MatLab, Java (Desirable), Python.

Knowledge and experience of risk, modeling, and capital management requirements and processes.

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 II (A-IRB and IRRBB), Basel III - Liquidity Ratios, stress testing, etc.

Functional skills:

Good understanding of Audit lifecycle from planning to closure of recommendations. Prior experience of performing controls testing and working with fair amount of autonomy.

Sound understanding of Risk based audit methodology, risk assessment and audit planning.

Produce good quality statement of findings and ability to synthesis clear and concise thematic opinions.

Ability to work on multi location/global audit with large and diverse teams

Ability to work well with and communicate with others, from teammates to executives, and to present findings to upper level management and executives.

Ability to manage multiple work efforts and to quickly change direction as needed..

Sound understanding/exposure on quality initiatives within audit function.

Fluent Command over English language (oral as well as written)