Internal Audit Role - Model Risk - BFS

Internal Audit - Model Risk

Key Duties & Responsibilities :

- Participate on and/or lead audit engagements of financial risk management, actuarial, quantitative finance and/or model risk management business functions.

- Participate on audits across the Internal Audit department to execute model testing procedures and provide internal independent model review and assessment.

- Perform technical analyses, benchmarking, building challenger models (if needed) to support the model/model validation review process.

- Check appropriateness of model assumptions, model attributes definitions, and statistical distribution of model input/output.

- Review the mathematical foundation of models, assessing the appropriateness of the model equations and theory.

- Review model performance and impact to ensure model stability and identify model risks and limitations.

- Develop and present remediation solutions where control weaknesses have been identified, providing recommendations on risk and control strategies.

- Develop strong written deliverables, including audit reports and summaries

Business or Industry Expertise :

- Requires strong knowledge of internal audit best-in-class practices; risk management; and regulatory guidance and expectations (FRBB, OCC, SEC, State Insurance).

- Requires strong knowledge of the Institute of Internal Auditor's (IIA) International Professional Practices Framework (IPPF) to which the Internal Audit Division's methodology is aligned. Must be proficient in risk and control analysis and audit concepts for supported area.

- Requires strong knowledge of financial services products, services and regulations.

- Requires strong knowledge of actuarial modeling and reserving for Life and Annuity portfolios and asset liability management.

- Requires strong knowledge of model development, governance and validation.

- Requires strong knowledge of relevant industry software and data analytic tools (e.g. Moody's, Proprietary Replicating Portfolio, Matlab, R, Python, etc.)

Required Education : Bachelor's or graduate degree in quantitative disciplines, accounting, actuarial science, finance or other related discipline required.

Preferred Education : Graduate degree or MBA a plus.

Required Experience : At least 10 years of financial services or insurance experience that required strong analytical, quantitative risk management and modeling/model validation skills.

Preferred Experience : Experience in a regulated financial services environment, requiring direct interactions with regulators such as the Federal Reserve, OCC, SEC, FINRA, or state Insurance Departments, is preferred.