Auditor - Business Audit (Credit Model Audit)

1) Being a contributor to the audit life cycle from planning to testing, reporting and closure of recommendation under the guidance of the Head of Mission/Senior Auditors, he assists audit management in execution of Audit plan. The audit work performed should comply with prescribed quality and timelines. Shared services missions may involve onshore travel.
2) The Auditor should be able to provide sufficienet interventions and autonomously  missions focus on:
- methodologies for calculating capital requirements for Basel models 2 through IRBA processes
- the models for the granting of consumer credit used in retail banking.
- the valuation models of accounting provisions in accordance with IFRS 9
- the methodologies used for risk management,
- models for the valuation of derivatives used in corporate and investment banking,
- liquidity and IRBB models used in ALM,
- Actuarial models used in insurance
3) Interact with various lines of business and control functions to understand relevant aspects of model development, validation, governance, and use.
4) Evaluate model documentation / validation reports and document results
5) Conduct Internal control reviews on behalf of the corporation to identify financial risks, controls to mitigate the risks and assess the control environment of each significant business process.
6) Assess the remediation of regulator and audit identified issues
7) Responsible for working independently on complex model audit
8) Assess inherent, control and residual risks with expertise in modeling practices, techniques, and validation processes as well as risk management strategies and data analytics.
9) Maintains clear work papers and audit trail of the work done in the audit workflow tool, in accordance with the prescribed methodology. 
10)  Makes appropriate recommendations to improve SG processes.
11)  Follow-up recommendations issued timely and escalate when needed.
12) Develop stakeholder management skills as a part of Continuous audit monitoring.
13) Ensure effective and efficient execution of audits in conformance with professional and departmental standards, budgets, and timelines.
15) Research relevant banking, regulation, risk management, and operational topics.

CA/MBA Finance with 6-9 years of experience in

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

• Execute all audits in accordance with professional standards.
• Assists audit management in preparation & execution of the audit plan
• Prepares Audit work program and understands the specific risks to be evaluated.
• Performs evaluation of internal controls, testing of processes
• Perform tests on the effectiveness of the Internal control environment within SG.
• Maintains clear work papers and audit trail of the work done in the appropriate tool
• Write formal & clear reports to communicate audit results to management
• Makes appropriate recommendations to improve SG processes
• Timely issuance of the audit reports
• Follow-up recommendations issued timely and escalate when needed
• Acquire knowledge on activities and risks during assignments and via trainings

 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).
• 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)

Knowledge of Data Analytics would be an added advantage

Behavioural skills:

Result Orientation and time management

Client Focus

Contribution to Strategy

People Development

Change management

Cooperation

Team Leadership

Ability to work with diverse teams/Team player

Conflict management

The model risk auditor will contribute to the group’s internal audit team covering enterprise-wide model risk.
Within the IGAD, the Model Audit team in is charge of auditing all the quantitative models present in the Bank.
To this end, the team can carry out autonomous audits or provide its quantitative expertise to the missions of the
Inspection as well as to that of local Audits. These missions of control and / or consultancy with high added value cover all
the activities of the Société Générale Group in France and abroad.
The team's interventions and autonomous missions focus on:

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