Head, Capital Markets Audit (#180620)
Our client, a leading Canadian financial institution, has engaged Randstad to recruit a quantitative risk professional to lead their capital market audit team.
The team is responsible for executing audit engagements related to a broad range of models including valuation models, risk models and capital charges models.
Specific responsibilities include:
- Model review, independent validation and re-performances:
- Review of model validation documentation;
- Assessment of logic designed to monitor model behaviour for robustness and completeness;
- Independent validation of model input data for availability, quality and completeness and assessing testing frameworks;
- Review of process relating to model parameter choices, either model-driven or trader marked.
- Quantitative support for other internal audit teams including independent logic validation of quantitative approaches identified during audit work, development of routines for independent data sourcing from trading systems for audit work (e.g. credit curves, discount rates) and risk report generation.
- Investigation work relating to potential product valuation issues and quantitative process issues.
- Validation of non-model based valuation approaches including analysis of appropriateness of trader marks of infrequently traded products and model parameters.
The incumbent will be responsible for management and development of team of quantitative auditors in the delivery of the highest quality internal audit services and will be involved in the planning and technical quality of audit work related to models conducted by the quantitative auditors. This includes leading regular and financial model audits, end of audit reporting and communication of findings to various levels of management.
The ideal candidate will have an extensive knowledge of a wide range of models used in a large financial institution including market risk, credit risk and valuation models. PhD in quantitative field or combination of quantitative and business degrees is strongly preferred. Equivalent relevant experiences would be considered.
A Masters degree in Statistics, Mathematics, Applied Finance, Physics, Engineering or other relevant background is required.
Strong interpersonal skills and experience managing and developing a team of professional staff are a prerequisite for this role. The incumbent will be able to effectively manage multiple competing priorities, tight deadlines and increasing and sometimes conflicting demands from multiple stakeholders.
For immediate consideration, please first apply online to this role. For further information, please contact Gied Hermsen, Recruitment Advisor Risk & Financial Engineering at Randstad Finance & Accounting. 416-640-1975 ext.2462 / firstname.lastname@example.org
Audit and Risk Management (Must Have)
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