Internal Auditor - Market Risk/Model Validation

- 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.

- 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

- Assess the remediation of regulator and audit identified issues

- Responsible for working independently on complex pricing model audit

- Prepare high quality audit deliverables including planning memoranda, audit programs, working papers, drafts of audit issues, audit reports and present the results to various levels of Internal Audit leadership, as well as the business organization.

- Ensure effective and efficient execution of audits in conformance with professional and departmental standards, budgets, and timelines.

- Maintain effective working relationship with key stakeholders responsible for modeling processes and model risk management

Required Skills:

- Having 6+ years of experience in Pricing and Regulatory market model development or Validation

- Having excellent mathematical skills including stochastic calculus, numerical methods and Montecarlo simulations.