Senior Quantitative Risk Auditor
Employer · OTP Bank Magyarország
Financial analystAccountant
MathematicianFull-timeBudapest
OTP Group is seeking a highly skilled Quantitative Risk Auditor to join its Group Quantitative Risk Audit function. The role will support the delivery of independent assurance over quantitative models, risk measurement frameworks, regulatory calculations, and model and data governance practices across OTP Group's banking subsidiaries and relevant entities in the EU, CEE, and Central Asia.
Tasks
- Conduct audits and reviews of quantitative models and risk methodologies across OTP Group entities (Credit risk models, Market risk models, Counterparty credit risk models, Liquidity risk and IRRBB frameworks, Operational risk methodologies, Stress testing and scenario analysis models, Capital calculation and RWA methodologies, Pricing and valuation models).
- Assess model governance frameworks, including model development, validation, implementation, monitoring, and change management processes.
- Evaluate the design and effectiveness of model risk management controls and related governance arrangements.
- Participate in audits focusing on compliance with Basel III / Basel IV and BCBS239 / RDARR requirements and relevant EU regulatory frameworks.
- Collaborate with local audit teams and subject matter experts across OTP Group entities.
- Prepare high-quality audit documentation, working papers, and audit reports, and present findings to management.
Requirements
- Advanced degree (MSc or equivalent) in Quantitative Finance, Mathematics, Statistics, Econometrics, Physics, Engineering, Computer Science, or another quantitative discipline.
- Typically 3-8 years of experience in one or more areas within the banking or financial services sector (quantitative risk management, model development, model validation, regulatory modelling, quantitative internal audit, risk analytics).
- Strong understanding of banking risk management principles and quantitative modelling techniques.
- Knowledge of Basel regulatory frameworks, particularly credit risk modelling, capital calculations, and model governance requirements.
- Experience with statistical analysis and quantitative methods used in banking.
- Fluent English language skills; additional regional languages are considered an advantage.