Lead Auditor - Business Audit (Market Model Audit)

Role & responsibilities

• Identify and evaluates the conceptual soundness of the pricing ( Stochastic Fixed income and equity models)  and market regulatory models (FRTB, VAR,IRC,CRM) along with assumptions and limitations
• Evaluate the implementation of the model by independent replication of model using SG pricing library.
• Assess the performance of the model by independently performing the calibration tests, degeneracy tests in case of exotic payoffs, benchmarking and various sensitivity tests covering stress scenarios.
• Review the quality of the input data by checking arbitrage free conditions and by liaising with various stakeholders such as IPV and data control teams to ensure data adequacyEvaluate the model usage by verifying the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,
• Formulate recommendations, which contributes to the improvement of the model as per SR-11-7 standards

Preferred candidate profile

Master's or Ph.D. in a quantitative discipline such as mathematics, statistics, Finance, or physics

• Having 7+ years of experience in Pricing and Regulatory market model development or Validation
• Having excellent mathematical skills including stochastic calculus, numerical methods (PDE and Montecarlo)
• Knowledge of OTC derivative products(including exotics and Hybrids) across multiple asset classes (Equity ,IR and FX)
• Having FRM, CFA or CQF certification is an added advantage
• Knowledge specific to Market regulations like FRTB, ECB and CFTC are an added advantage.