Manager - Model Risk Auditor - Pricing & Regulatory Market

Role and Responsibilities

1.Lead/Drive the models audits of varied complexity and validating them in accordance with SR 11-7 standards.

2. Assists supervisors in Risk assessment exercise and preparation & delivery of audit plan

3. Maintains/reviews clear work papers and audit trail of the work done in the audit tool, in accordance with prescribed audit methodology.

4. Responsible for documentation of formal and clear audit reports in order to communicate audit results to management.

5. Responsible for timely follow up and closure of open recommendations.

6. Coach and mentor business auditors/audit trainees on individual audits

7. Participate in quality initiatives of the Audit Department 8. Makes appropriate recommendations to improve processes.

9. Stakeholder management as a part of Continuous audit monitoring (CAM)

Qualifications and skills:

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

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

- Having excellent mathematical skills including stochastic calculus, numerical methods and Monte carlo simulations

- Knowledge of OTC derivative products(including exotics and Hybrids) across multiple asset classes (Equity ,IR and FX)