VP - Model Risk Auditor - BFSI

Role summary :

This opportunity is for individuals with proven expertise in modeling of risk and valuation in financial services to join a newly established 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).

A challenging role in Mumbai to provide independent assurance over model risk around risk capital, pricing/valuation, and other business decision making models

- Support the Head of Audit Model Risk in audit planning and team management

- Investigating Key aspects of each model under review: including testing of model design, implementation, application, validation and governance processes

- Continuous risk monitoring activities with respect to functional areas of responsibilities

- Supporting audit projects in providing oversight to complex model aspects

- Origination of audit reports for attention of senior management and supervisory authorities

Key Deliverable :

- 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 performed by CS 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

Qualifications/Competencies :

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

- A PhD degree in mathematics, physics, finance, econometric or related quantitative discipline

- Atleast 5 Year of experience in risk and/or pricing modelling in the financial industry