Auditor - Business Audit (Credit Model Audit) - Audit / Control / Quality - Chennai, India

About the job

Auditor - Business Audit (Credit Model Audit)

Responsibilities

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.

Profile required

Job Description:

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:

• 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

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 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

· Prepare high quality audit deliverables including working papers, finding sheets and audit reports and present the results to various levels of Internal Audit leadership, as well as the business organization.

· Maintain effective working relationship with key stakeholders responsible for modeling processes and model risk management

Required Skills:

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

· Having 4-6 years of experience in development/ Validation regulatory Basel IRB or IFRS9 credit risk models

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

Soft skills:

· Autonomy

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

· Rigor, reliability and toughness

· Oral and written communication, assertiveness, relational

· Ability to popularize messages

· Ease of writing

Why join us

“We are committed to creating a diverse environment and are proud to be an equal opportunity employer. All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status”.

Business insight

At Société Générale, we are convinced that people are drivers of change, and that the world of tomorrow will be shaped by all their initiatives, from the smallest to the most ambitious. Whether you’re joining us for a period of months, years or your entire career, together we can have a positive impact on the future. Creating, daring, innovating, and taking action are part of our DNA. If you too want to be directly involved, grow in a stimulating and caring environment, feel useful on a daily basis and develop or strengthen your expertise, you will feel right at home with us!

Still hesitating? You should know that our employees can dedicate several days per year to solidarity actions during their working hours, including sponsoring people struggling with their orientation or professional integration, participating in the financial education of young apprentices, and sharing their skills with charities. There are many ways to get involved.

We are committed to support accelerating our Group’s ESG strategy by implementing ESG principles in all our activities and policies. They are translated in our business activity (ESG assessment, reporting, project management or IT activities), our work environment and in our responsible practices for environment protection.