Manager Quant Audit
Manager Quant Audit
As part of RCA, the Global Analytics Models Methodology Audit (GAMMA) group is responsible for assessing design and operating effectiveness of controls designed for managing various model risks; evaluating compliance of the Bank’s model risk management practices with regulatory requirements, best market practices, and the Bank’s model risk policies; and serving as subject matter expertise within Internal Audit to provide support to all audit groups in quantitative aspects when required. The models and methodologies include models used for valuation, risk measurement/management, regulatory/economic capital calculation/management, and performance measurement/management of financial products across the Bank and all types of risk (i.e., Market Risk, Credit Risk, Operational Risk, Liquidity Risk, and etc.)
Job Description/Accountabilities:
The successful candidate will be responsible for
• Assessing data integrity including data relevance to various models
• Helping to perform various regular or special audit tests
• Working closely with other members within RCA or other audit groups to conduct audit field works in testing valuation models, risk models, capital models, or other types of models as required
• Contributing to the completion of the overall audit process, including development and application of appropriate audit programs, ongoing client communication, execution of the audit tests, documentation, and reporting of the audit test results
• Identifying and recommending key controls and safeguards that help improvement or enhancements of policies and/or procedures throughout the organization
• Preparing and presenting audit findings and recommendations to client management
• Conducting audit findings follow-up
• Being subject matter expertise in supporting other audit groups in data mining and certain quantitative areas when required
Qualifications/Skills/Experience:
• Strong knowledge of data mining, processing, and analysis
• Good understanding of fundamental framework and concepts of financial modeling including valuation (simple discount cash flows), option pricing model, risk modeling, portfolio performance modeling as well as financial products (derivatives and credit products)
• Good knowledge and experience in SQL, MS Access, VBA, C++, Matlab, SAS, etc
• Good experience or potential ability in understanding of the model implementation/applications and/or running the model applications
• Good knowledge of advanced statistical analysis and their applications in practices including regression analysis, statistical tests, time series analysis, and probability theory such as normal, log-normal and binomial distributions, stochastic processes, etc.
• Strong ability to handle multiple tasks and work on projects with a tight deadline
• Prior financial industry working experience or audit experience is a must
• Good communication, negotiation and English writing skills would be an asset
• Knowledge or working experience in Operational Risk modelling/management would be desirable
• Knowledge of Basel requirements and experience in economic or regulatory capital models would be an asset
Specific Education Requirements:
• Ph.D or Master degree in Mathematics, Statistics, Economics, Finance, Physics or Engineering with reasonable knowledge of quantitative financial modelling techniques
• Professional designation in internal audit or risk management would be an asset.
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