Model Risk Audit - BFSI

Model Risk Audit

Model risk audits typically include :

- Review and assess the model development and independent model validation performed by organization 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

- 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 projects 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.

Candidates for the role in the Internal Audit Model Risk team are expected to have the following :

- 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, from private study if they have not worked in the financial sector

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

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

- Excellent knowledge in risk management, quantitative analysis and software