Snr Model Risk Audit Manager
My client, a global banking institution has opportunities for ambitious, quantitative individuals with strong modelling skills in market, credit, insurance or business risk, in their Group Models Audit team.
Specialised in one of the following model areas: Risk Capital models, Market Risk/Stress, Credit (Basle 3, etc), Derivatives modelling, Corporate Banking, Retail Banking, Insurance/Actuarial modelling, Portfolio Management.
RESPONSIBILITIES:
- Develop understanding of the business unit’s strategy to focus audit work on the highest risk.
- Plan and execute risk based audits in a broad range of businesses with minimal oversight.
- Identify the right mix of control, business and specialist skills required to deliver the engagement.
- Drive delivery, understand and balance short and long term goals.
- Manage key stakeholders during the audit, build relationships, influence effectively.
SKILLS OVERVIEW:
- Experience of applying quantitative expertise in a financial or consulting environment is essential, with good statistical, mathematical and financial modelling.
- Able to understand the business context and requirements of the models.
- Understand the elements of a model life-cycle, and the risks.
- Able to challenge the modelling process through understanding of the underlying assumptions of models, model development.
- Use a wide range of analytical tools and techniques, to provide recommendations / solutions.
- Presents factual information in a structured, clear, concise way avoiding jargon.
TECHNICAL SKILLS IN AT LEAST ONE OF THE FOLLOWING:
- Credit Risk modeling (Any SAS abilities? - desirable)
- Regulatory Capital / Basel 3 / Scenario analysis / Stress testing / Capital Management frameworks
- Derivative products PFEs
- Market Risk, PFE, CVA
- Actuarial modelling and Solvency II
- Model Validation
- Statistical theory analysis
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