Model Risk Auditor - BFS

Model Risk Auditor :

Model audit, stochastic calculus, Vanilla models, black scholes, market risk, pricing model, validation, 7-12yrs CFA, FRM, (exposure to stochastic calculus and pricing models(apart from Vanilla models like black scholes)

The model risk auditor will contribute to internal audit team's enterprise-wide coverage of model risk. Job will involve a very degree of international exposure to various aspects of investment banking and will require travel to countries like France, Hong Kong, Japan, South Korea, UK and US. This job has high organizational visibility and can add a lot of value to the organization's control environment and impart confidence to the regulators.

The candidate will assume the following 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

- Responsible for working independently on complex model audit

- 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.

- Ensure effective and efficient execution of audits in conformance with professional and departmental standards, budgets, and timelines.

- 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.