Manager- Quant Auditor Role and Team Description : The role will reside within the Internal Audit's - Risk Management audit team in Mumbai. The team is responsible for : - Secondary Reviews of Quantitative Models and Validations : Audit the model development and validation methods and procedures of the Market Risk Analytics Group, Operational Risk Analytics Group, Credit Capital and Rating Analytics, Institutional Securities Group and Model Risk Management on an annual basis. These audits cover the firm's key capital, risk and pricing models, including: Comprehensive Capital Analysis and Review (CCAR), Value at Risk (VaR), Stressed VaR, Incremental Risk Charge, Comprehensive Risk Measure, Advanced Measurement Approach (AMA Operational Risk), Retail, Wholesale and Securitization Credit models and the full range of front office pricing models. - Closure Verification of Regulatory Findings : Verify work performed by the above mentioned clients to remediate regulatory findings in the form of Matters Requiring Immediate Attention (MRIA), Matters Requiring Attention (MRA), Market Risk Rules (MRR) and Observations. This involves a review of methodology and testing performed, and, as necessary, additional testing by role includes assisting the Internal Audit department's securities audit team in completing its annual audit plan, communicating to senior management and providing recommendations for improvements. Primary Responsibilities (Day Job) : - Carrying out detailed quantitative audit of Market Risk, Credit Risk and Operational Risk models and validations. - Carrying out detailed quantitative audit of pricing models and validations. - Provide support on financial derivatives, risk analytics in other Internal Audit engagements - Documenting all work performed in a clear, concise, and re-performable manner; uploading all work papers and reports into the Internal Audit work paper system - Tracking and closing technical findings identified by US Federal Regulators or UK regulators (PRA), or resulting from model audits. - Periodic reporting to senior management. Skills required : - Good understanding of quantitative finance, Statistics and model development - Knowledge of financial markets, financial mathematics and a basic fluency in stochastic calculus, statistics and Monte Carlo methods. - Strong interpersonal skills in order to interact confidently within Internal Audit and with internal clients. - Knowledge of derivative pricing models across multiple asset classes. - Knowledge of industry practice in risk modeling methodologies. - Knowledge of a wide range of financial products (Equities, Fixed Income, Commodities) and their derivatives pricing models

Mumbai

Bangalore

Manager/Quant Auditor - Risk Management Team - BFS 

Manager/Quant Auditor - Risk Management Team - BFS  ,Job Description for Manager/Quant Auditor - Risk Management Team - BFS  in Skillventory in  Mumbai Bangalore for (6-9) years of experience. Apply Now!

Job Description for Manager/Quant Auditor - Risk Management Team - BFS  in Skillventory in  Mumbai Bangalore for (6-9) years of experience. Apply Now!