VP - Model Risk Audit - Investment Bank

VP Model Risk Audit

Top MNC investment bank hiring VP for Model Risk role

Job Location : Anywhere in West India (Confidential, will be shared with interested candidates)

Education Pedigree : Financial Engineering / PhD (Quant / Statistics discipline) / CQF / Engineering from Tier Institute.

Model risk audits typically include :

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

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

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

- Experience in risk and/or pricing modelling in the financial industry