Model Risk Auditor - BFSI

Responsibilities

- Audit entire model life cycle, i.e. development, validation, implementation, policies, governance, and use. Model uses include calculate derivatives prices, valuation adjustments, CCAR, etc

- Interact with various lines of business and control functions to understand relevant aspects of model development, validation, governance, and use.

- Evaluate model documentation / validation reports and document results

- Conduct Internal control reviews on behalf of the corporation to identify financial risks, controls to mitigate the risks and assess the control environment of each significant business process.

- Assess the remediation of regulator and audit identified issues

- Assess inherent, control and residual risks with expertise in modeling practices, techniques, and validation processes as well as risk management strategies and data analytics.

- Prepare high quality audit deliverables including planning memoranda, audit programs, working papers, drafts of audit issues, audit reports and present the results to various levels of Internal Audit leadership, as well as the business organization.

- Maintain effective working relationship with key stakeholders responsible for modeling processes and model risk management

- Research relevant banking, regulation, risk management, and operational topics.

- Maintain technical subject matter internal audit competency through ongoing professional development

Required Skills:

- Master's or Ph.D. in a quantitative discipline such as mathematics, statistics, operations research, physics, or economics.

- Experience with pricing models (expertise in at least one asset class- Equity/Rates/FX or credit), risk models (VaR, CVaR, SIMM, XVA, stress testing) etc.

- Expertise in derivatives pricing theory along with good understanding of stochastic calculus, finite difference methods, Monte Carlo simulation techniques, etc.

- Knowledge on different components of market risks and development/validation of risk or pricing models.

- Ability to articulate quantitative topics in a simplified manner.

- Experience in one of R, SAS, C++, MatLab, Java (Desirable).