AVP - Risk Modelling - Review & Assurance - Bank

About Our Client:

As one of the world’s leading financial institutions, our client provides first-class products and services to Corporate, Institutional and private players. With continued expansion of their India-based Global Operations Hub, they are keen to recruit senior-level professionals to setup their market risk & credit risk model audit team.

Job Description:

- You shall be responsible for establishing the Model Risk Audit team within Internal Audit which is responsible for delivering independent assurance over model risks globally.

- The reach of the team extends to all functions of the bank (including risk management, pricing/valuation, capital, and other business decision making models).

Your key responsibilities shall include:

- Lead audit projects to review model development and validation processes.

- Perform audit procedures covering the end to end model development and validation process, including review and testing of model design, implementation, application, validation and governance processes.

- Build relationships with key stakeholders, keep up to date with emerging best practices and developments and perform continuous risk monitoring activities.

- Model risk audit projects review and test all aspects of model design, implementation, performance and validation processes operated by the bank’s model development and validation functions

Model risk audits typically include:

- Review and assess the model development and independent model validation based on review and testing of the development and validation processes and documentation

- Investigating key aspects of each model under review, incl. model documentation, model selection, input data, theoretical construction, implementation (independent calculation) and model governance (inventory related models, issues, escalation, agreed actions, approvals/limitations and/or conditions of use)

- Participation in working groups addressing modeling issues and the model control environment

- Reviewing findings with colleagues in different audit groups including business and subject matter experts

- Developing appropriate controls to mitigate for model risk and residual uncertainty

- Documenting the testing performed

The Successful Applicant:

- Bachelors or Masters from a Tier 1 institution with 7+ years of relevant experience

- Our client is open to considering people either having strong experience of auditing / reviewing credit risk & market risk models or market & credit risk SME's who are keen to move into an Audit role

- Experience in data analysis and management, and trading risk management systems would be an advantage

- Hands-on experience of model risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics

- Experience in model risk assurance activities (internal/external audit, independent validation or regulatory environment) would be an added advantage

- Excellent knowledge in risk management, quantitative analysis and software applications (such as Matlab and S-PLUS)

What's On Offer:

An exciting opportunity to be part of a dynamic global organization and work with professionals and subject matter experts. You will discover a high performing, driven and supportive working culture and outstanding developmental possibilities to increase your potential