Specialist Model Risk Auditor - Sandton, Johannesburg at FirstRand Group

Purpose

• Credit risk models
• Market risk models
• Operational risk models
• Pricing models,
• Liquidity risk models
• Pillar II Risk Models
• Stress testing models
• Regulatory and Economic capital models
• Financial Crime Risk Models   Eachmodel audit assesses: model design, model documentation, quality of modelinputs and data (BCBS239), model implementation (usage) and model governance.Model validations are also performed by the Model Risk Audit Team on Valuation,Hedging, Insurance, Affordability, Impairment (IFRS9) and Pricing models, aswell as Application, Collection and Behavioural scorecards and Propensitymodels. The successful candidate will also, as part of the audits andvalidations, be required to interact with the relevant divisional teams inorder to inform the scope of the assignment to be embarked on.

Experience and Qualifications

• A Business Mathematics/Actuarial/Financial Engineering/Informatics/Quantitative Risk Management Degree with majors in Mathematics, Statistics is essential.
• An Honours Degree would be advantageous.
• Past working experience in a relevant role, i.e. model development, model validation or internal audit.
• Knowledge of statistical, financial, risk and quantitative methods
• Experience in using relevant software packages such as SAS, R, VBA and MATLAB.
• Understanding of Credit, Operational Market and Liquidity Risk models as defined by Basel II & III will be preferable.
• A comprehensive understanding of the regulatory frameworks and compliance requirements associated with financial services and experience of working within these.

Responsibilities

• Investigating key aspect of each model under review: model design, model documentation, quality of model inputs, model implementation and model governance
• Performing audit fieldwork in terms of the audit program.
• Documenting the audit testing performed
• Drafting of audit report: including executive summary and detailed audit findings.
• Evaluating and monitoring of corrective actions taken to address control weaknesses identified.
• Attendance of key risk committee and technical risk committee meetings where relevant
• Interaction with the regulating authorities on model related matters.
• Maintaining awareness of risk issues and changes across business units within the FirstRand Group, as well as the Financial Industry
• Seeking out internal and external best practice information to improve the quality of audits and provide customers with world-class perspectives and solutions.
• Willingness to travel within South Africa and abroad is also essential.