13/08 Sneha Sawant
Consultant at Black Turtle India Pvt. Ltd.

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AVP - Model Risk Auditor (5-8 yrs)

Pune Job Code: 731833

- Review and assess the model development and independent model validation performed 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) with reference to internal policies and regulatory requirements (e.g. FED SR11/7)

- 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

- Verifying effective controls and procedures to mitigate for model risk and residual uncertainty

- Documenting the testing performed

- As a part of this team the candidate will get exposure to modeling and model validation in a wide range of activities, including risk management, pricing/valuation, capital, stress testing, and other business decision making models. The current heightened regulatory focus on these areas and the broader model risk scopes also guarantees a significant level of interest and visibility to the business and senior management. The diversity of assignments available within this role offers the chance for team members to gain a broad range of model risk experience. Opportunities to present results to stakeholders as well as peers are numerous, allowing the candidate to widen and develop their network and reputation.

You Offer

- A university degree in econometrics, quantitative finance or equivalent

- Experience in model risk assurance activities (internal/external audit, independent validation or regulatory environment) and understanding of risk and/or pricing modelling in the financial industry

- Ability to manage team assignments

- Strong communication and writing skills (fluency in English is a prerequisite)

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Women-friendly workplace:

Maternity and Paternity Benefits

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