As a soon to be former internal auditor, moving to a quant application development role, I must strongly disagree with alain.
People will not like you, if you have a bad personality, and cannot make a valid argument for you auditing process. If you show your understanding of their job/field/desk/you-name-it, the quant/analysts/traders will respect you. Also, as a junior auditor you will not be the one writing the reports, or having political discussion with the management, so you will not be the person that really annoys the rest of the company. Show respect, and you'll get it back.
To answer your question, most of the quant audit roles I've heard about (I've spoken to RBS, Lloyds, and HSBC in London) are more or less about double checking the model validation process. you should not expect to do much programming. You will, however, learn a lot about models, quantitative methods, etc, which is necessary for you to be able to assess the model implementation, the tests chosen by the validation team, discuss possible model issues/limitation with the quant team, etc.
Of course quant auditor is not the same as quant in an audit team. But I've only heard about the latter from my old boss, who moved to another bank, and claimed that he has quants writing programs for his team. He did not say what programming language, so I think he was overselling his team, and he just had a guy or two, who would write a SAS/VBA/SQL code for data gathering. But who knows. In my job I mostly did VBA (which doesn't count for much), but the last ~15 months I've been reviewing and writing
C++ code. I was in a lucky position that I could steer my own projects and decide whether to look at the code, or just at the documentation. AND it was easy to convince my boss that some things we can implement our self to get more 'audit assurance'.
The best part of being a quant auditor is networking. You will meet a lot of people in the company, in many different departments. Which is great, if you're not sure where you'd like to end up later in your career. For example, I didn't know where I want to go and was only remotely aware of the quant department/roles. But it seems like most of the people on QuantNet know what they want, so perhaps quant audit is a waste of time, you may need a couple of years before you make the transition to the proper quant team. On the other hand, since you know from the start you want to move to the quant team, maybe you'll just need a year? If, after this period, you end up getting an interview for the quant team, you will go through the same process and drill-down-questions like everybody else, but at least you will know the people asking you the question (from your audit projects), which makes it much much less stressful. So to summarize, even if you decide to get to a quant role via audit, you still need to know your quant ABC.
I also have seen an external auditor moving to a quant developer role. But he was very experienced and he had an IT background.
I hope my long essay did not put anyone to sleep.
And rothmann, you are very welcome to ask me some detailed questions, if you like (also via PM).
