Societe Generale - Model Risk Auditor

Job Description :

The model risk auditor will contribute to the group's internal audit team covering enterprise-wide model risk.

Within the DCPE, the Model Audit team in is the 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 Societe Generale Group in France and abroad.

The team's interventions and autonomous 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

This job has high visibility and can add a lot of value to the organization's control environment and impart confidence to the regulators.

The Job will involve the high degree of exposure to various aspects of investment banking and will require international travel.

The candidate will assume the following responsibilities :

- 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 ("back-testing"),

- 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 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

- Research relevant banking, regulation, risk management, and operational topics.

- Maintain technical subject matter internal audit competency through ongoing professional development

Required Skills:

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

- Having 6+ years of experience in development/ Validation regulatory (Basel 2) credit risk models

- Expertise in development or Validation of Credit risk models such as PD and LGD in the context of the regulatory framework.

- Understanding of risk frameworks like Basel II - (A-IRB and IRRBB), Basel III - Liquidity Ratios, stress testing, etc.

Soft skills :

- Autonomy

- Ability to work in a team: integrate, adapt and share information

- Openness and Curiosity: the candidate will perform audit missions focusing mainly on regulatory credit risk models but not only. He/she might be involved in all type of models audited by the team

- Rigor, reliability, and toughness

- Oral and written communication, assertiveness, relational

- Ability to popularize messages

- Ease of writing