Market Risk Auditor

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Job Description:

Market Risk Audit is a global team of subject matter experts in traded market risk and valuation within Corporate Audit. We are looking for someone with a risk-based audit skillset and traded market risk & valuation subject matter expertise to perform audit work (design & execute test programs; develop & communicate evidenced-based conclusions on the effectiveness of business process controls; validate issues; manage stakeholder relationships) with a specific focus on the Market Risk and Global Markets areas as part of the global Market Risk Audit team. The successful candidate will be expected to work closely with team members across the globe and engage with key partners in the Corporate Audit organization, including the Global Markets Audit, Model Risk Audit and Technology Audit teams. Existing members are drawn from wide range of quantitative backgrounds, and the team comprises former traders, market risk managers, front office and finance quants, and regulators. The team leads many high-profile audits comprising both regulatory-required and functional work, with continual senior management and regulatory focus. The role will provide the successful candidate exposure both within Audit and more widely in the firm.

Responsibilities:

• Assessing the control environment effectiveness of market risk measurement and valuation processes within Global Markets Risk and Global Markets, providing independent challenge to existing approaches as needed.

• Working flexibly as part of the global team on audit projects as required, including providing subject matter expert support to other teams within Corporate Audit.

• Performing thorough technical analyses and summarizing results in concise and impactful report conclusions for distribution and presentation to senior management and bank regulators.

• Proposing and executing test programs as part of day-to-day audit work.

• Developing and managing independent relationships with stakeholders across first and second lines.

• Maintaining timely and relevant knowledge and awareness of business, industry, and regulatory trends, best practices, and standards.

• Close work with a support development team to enhance and automate testing by leveraging new technologies and artificial intelligence.

Skills:

• Business Acumen

• Audit Planning

• Internal Audit Review

• Critical Thinking

• Risk Analytics

• Risk Modeling

• Adaptability

• Collaboration

• Problem Solving

• Risk Management

• Written Communications

Additional Skills:

• Has strong knowledge of financial instruments and financial risk management principles, including exposure to Global Markets products, both derivatives and securities; a deep understanding and knowledge of market risk measures and fair valuation; and a strong comprehension of financial modelling fundamentals.

• Understands internal audit's role and objectives and how risk-based auditing is used to assess business process control environment effectiveness.

• Has strong presentation skills, with the ability to communicate clearly and effectively both verbally and in writing; ability to produce high quality technical documentation.

• Has the ability to problem solve; the ability to work both as a self-starting individual and as part of an integrated team; excellent attention to detail; a positive outlook and an ability to work in a fast-paced environment/multi-task under pressure; and is an intellectually curious, critical thinker.

Required Qualifications:

• Has a minimum 5-8+ years of experience in risk management, price verification, quant or trading group in a bank or other financial institution, or in audit covering those functions, or minimum 5-8+ years of alternative relevant experience.

• Has practical experience managing and performing traded market price risk processes, e.g. market risk exposure measurement, management, or reporting; limit setting, monitoring, or management; regulatory capital requirement calculation; or stress testing.

• Has sustained experience effectively communicating with first-line markets trading and second-line risk management audiences/stakeholders.

Desired Qualifications:

• An advanced degree in a quantitative field (e.g. PhD or Master's degree in Statistics, Economics, Mathematics, Finance, Engineering, Physics, Computer Science, or related field).

• Experience in computational, engineering, or scientific research or development roles.

• Strong, hands-on programming skills using Python, R and/or C++/C#, with ability to develop code to conduct independent testing and replicate results, and/or the ability to use data analytics applications.

• Knowledge of market risk capital regulation (Basel III implementation through the US Market Risk Rule and the Capital Requirements Regulation in EU and UK jurisdictions), awareness of requirements in the Fundamental Review of the Trading Book and the wider regulatory environment (e.g., Sound Practices for Model Risk Management, SR 11-7).

Minimum Education Requirement: Master's degree in related field or equivalent work experience

Shift:
1st shift (United States of America)

Hours Per Week:
40

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