Market Risk Auditor

Position - Model Risk Auditor

Department - Internal Audit

Location - Mumbai – Powai

MODEL RISK AUDITOR – JOB DESCRIPTION

About Company

As one of the world's leading banks, Company provides its clients with investment banking, private banking and asset management services worldwide. Founded in 1856, Company has a long tradition of meeting the complex financial needs of a wide range of clients, offering advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Company is active in over 50 countries and employs approximately 45,000 people.

Cultural diversity is essential to our success. As such, we employ people from more than 100 countries.Company empowers employees to work openly and respectfully with each other and with clients, ultimately striving to deliver superior results while offering initiatives and programs to assist employees achieve a healthy work-life balance.

KPO (Mumbai)

We are seeking candidates who will be responsible for the performance of audit projects to review model development and validation processes.

The successful candidate will be expected to perform audit procedures covering the end to end model development and validation process, including: review and testing of model design, implementation, application, validation and governance processes. Successful candidates will be expected to build relationships with key stakeholders, keep up to date with emerging best practices and developments and perform continuous risk monitoring activities.

Key Deliverables (i.e. Outcome)

Model risk audit projects review and test all aspects of model design, implementation, performance and validation processes operated by the bank’s model development and validation functions.

Model risk audits typically include:

- Review and assess the model development and independent model validation performed by CS based on review and testing of the development and validation processes and documentation

- Investigating key aspects of each model under review, incl. model documentation, model selection, input data, theoretical construction, implementation (independent calculation) and model governance (inventory related models, issues, escalation, agreed actions, approvals/limitations and/or conditions of use)

- Participation in working groups addressing modeling issues and the model control environment

- Reviewing findings with colleagues in different audit groups including business and subject matter experts

- Developing appropriate controls to mitigate for model risk and residual uncertainty

- Documenting the testing performed
Qualifications/competencies

Candidates for the role in the Internal Audit Model Risk team are expected to have the following:

- A first degree in mathematics, physics, engineering, finance or econometrics and ideally a Masters or PhD in one of those areas or finance. Experience in data analysis and management, and trading risk management systems would be an advantage

- Hands-on experience of model risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics, from private study if they have not worked in the financial sector

- Experience in model risk assurance activities (internal/external audit, independent validation or regulatory environment) would be an added advantage

- Strong communication and writing skills (fluency in English is a prerequisite)

Excellent knowledge in risk management, quantitative analysis and software applications (such as Matlab and S-PLUS)

- Candidates should be self-motivated, disciplined, task focused, able to structure their work and have a proven record of delivering high quality results to strict deadlines

Value proposition

As a part of this team the candidate will get exposure to modeling and model validation in a wide range of activities, including risk management, pricing/valuation, capital, stress testing, and other business decision making models. The current heightened regulatory focus on these areas and the broader model risk scopes also guarantees a significant level of interest and visibility to the business and senior management. The diversity of projects available within this role offers the chance for team members to gain a broad range of model risk experience. Opportunities to present results to stakeholders as well as peers are numerous, allowing the candidate to widen and develop their network and reputation.