Overview
Key Responsibilities:
– Define and execute the audit strategy for risk-based audits of Model Risk Management functions across the global business
– Lead complex global model risk audits and provide technical oversight of team deliverables
– Develop and oversee the annual audit plan for model risk coverage, incorporating emerging risks and regulatory changes
– Assess the firm’s model development processes, validation frameworks, and governance structures against industry and regulatory standards
– Lead the evaluation of model performance monitoring and appropriateness of model usage during Business Line audits
– Provide technical leadership in assessing the robustness of model validation processes performed by the second line of defence
– Evaluate the firm’s model risk management practices against regulatory standards such as SR 11-7, JFSA, UKPRA, BAFIN and ECB requirements
– Drive risk assessments of model risk related auditable entities and maintain current knowledge of the firm’s model risk profile
– Build and maintain trusted relationships with senior business partners, External Auditors, and Regulators
– Lead the development and implementation of data analytics and automated testing approaches
– Help manage and develop a team of quantitative audit professionals
– Provide technical guidance to other audit teams on model-related aspects of their reviews
Skills, experience, qualifications and knowledge required:
– Master’s or PhD in quantitative sciences, with 12-15 years of relevant experience in model risk management, including relevant experience as a practitioner (developer of validator)
– Proven track record of leading complex model risk assignments in a global financial institution
– Deep expertise in pricing and risk models design, development, calibration, stress testing and validation. The experience should be in 1st or 2nd line of defence functions at an institution dealing with complex capital markets products trading activities. Consulting experience would also be considered.
– Comprehensive understanding of quantitative finance, model development, and validation frameworks
– Strong financial mathematics background with expertise in stochastic calculus, statistics, and numerical methods
– Experience managing and developing technical teams
– Extensive market knowledge across asset classes and experience in risk managing derivative products (IR, FX, Credit, Equity, Inflation, etc.)
– Strong project management capabilities and demonstrated ability to deliver under pressure
– Excellence in stakeholder management at senior levels
– Outstanding written and verbal communication skills
– Proven ability to challenge and influence senior stakeholders while maintaining professionalism
– Independent thinking and strategic mindset
– Previous audit experience advantageous
– Proficiency in programming languages, preferably Python, and experience with data analytics
– Relevant professional certifications (FRM, PRM, etc.) preferred