Quantitative Model Auditor Manager

State Street Australia
09 Oct 2017
12 Oct 2017
Job Role
Internal Auditor
Contract Type

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Positions for Corporate Audit Model Risk Auditor in Hangzhou, China

Model Risk Auditor, Officer

Model Risk Auditor, Overview

The Corporate Audit, Model Risk Team is recruiting for a new Team of quantitative auditors to join our office in Hangzhou, China.  These individuals will assess the risk and controls around quantitative models used within the Business operations of State Street Corporation.

The Corporate Audit Model Risk Team provides model analytical support to audit engagements corporate wide.  Model Risk Auditors assess the effectiveness of internal controls governing models, including model inputs, model methodology / framework/processing and model outputs, and evaluate if models are well-governed and perform as documented, in accordance with regulatory requirements in SR 11-7 and internal model risk management policies and standards.

Responsibilities include and not limited to model code / excel formula review or test runs.

This Model Risk Auditor will perform independent model review and effective challenges on key assumptions and model limitations.

He/she would support the US Model Risk Audit Team to expand coverage to the full spectrum of corporate model inventory on a sampling basis, with models in areas like: wholesale credit risk (probability of default, loss given default, exposure at default), interest rate risk (asset liability management - prepayment modeling, term structure models), market risk (VaR, sVaR), operational risk, liquidity risk and valuation of financial instruments.


Participate inaudits according to a risk-based audit approach, recommend model specific internal control improvements that may include operational enhancements and document the review result.


Perform model risk audits, including and not limited to reviewing input data testing, a code review (for model implementation and documentation), model output review (back testing, sensitivity analysis, etc.) and model fitness and purpose evaluation; and preform documentation reviews.


Work with other auditors to assess data quality and their impact on the modeling process


The Model Risk Auditor ensures that audits are completed in compliance with the Corporate Audit Department and Institute of Internal Auditor standards.

The candidate requires good analytical, interpersonal, time management, project management, research and communications skills.


Positions for Corporate Audit Model Risk Auditor in Hangzhou, China


Undergraduate degree in Accounting, Finance, Economics, Quantitative Methods, Mathematics, Financial Engineering. Quantitative Finance and related area.  A Master's degree would be a plus.

Industry experience in Financial Services, Public Accounting and Consulting with a background in consulting services, advisory services, external audit, internal audit, risk management or modeling.

The candidate may have at least five years of experience in Public Accounting, Advisory Services, Consulting, Internal Audit, or a modeling area.

The candidate maybe a FRM, CFA, CPA,CISA

Experience with modeling and modeling technics.  Model development and model valuation a plus.

Knowledge of financial products in the banking industry.

Knowledge of programming and statistical tools like Excel/Visual Basic, , Visio, Access, SQL, Stata, SAS, VBA etc.

Strong verbal communication skills to interact effectively with the different stakeholders and regulators

Ability to work independently and under pressure, and comfortably liaise with other areas

Willingness to adapt to new situations, and learn new concepts and approaches

Strong written and verbal English communication skills

Good project management skills and demonstrated ability to work independently on multiple tasks and/or projects