Model Risk Auditor - Contract to Perm

The Auditor's primary responsibility is to lead audit assignments. He/she is expected to have a high degree of technical proficiency, autonomy and the ability to oversee and monitor the work of their team. He/she should be able to run larger and complex audits with minimal supervision or oversight. Some responsibilities will include, but not limited to:

• Independently, leading various types of audit missions (including complex, global, multi-team/integrated, etc.,) overseeing all aspects of the audit process and having full ownership of the audits assigned
• Preparing high quality and impactful audit reports, especially executive summaries that effectively address the key issues to be raised to management's attention
• Actively participating in department's continuous monitoring programs - understands the ongoing changes in internal and external environment related to specific audited activities and evaluates the impact of changes on the business and company
• Participating in various stages of the annual risk assessment and providing professional conclusions on the risks' evaluation
• Participating in department wide transformation projects and actively contributing, communicating and implementing the changes, and supporting others through the process

SKILLS AND EXPERIENCE (REQUIRED)

• Have deep understanding and knowledge of model risk related regulations, including SR 11-7, SIMM.
• Strong knowledge with different modelling approaches to review models, such as stochastic calculus, partial differential equation, Monte-Carlo simulation, machine learning, linear regression, logistic regression, decision tree, time series, optimization etc.
• Experiences developing/validating/auditing in one or several of the following commonly used models in banks: PD/LGD, Pricing Models, Internal models such as Var and Counterparty Risk models, Liquidity Risk models, Stress Testing models, Anti-Money-Laundering models and other compliance models

Competencies:

• Highly motivated and committed to lead and progress; shows initiative, integrity, and creativity
• Demonstrates curiosity, motivation, enthusiasm for learning and self-development with high level of independence and autonomy
• Demonstrates strong organizational/project management skills, able to establish goals, priorities, and realistic plans that maximize use of available resources; able to meet all deadlines; able effectively delegate, make decisions, solve difficulties and timely escalate issues
• Demonstrates willingness and readiness to provide support and collaborate to promote team spirit
• Establishes relationships with junior team members; actively coaches, provides training, shares knowledge, feedback and support

EDUCATION/PRIOR EXPERIENCE

Required:

• 5+ years of work experience in model risk management in financial services
• Work experience in model risk audit or model validation in consulting firms/investment banks
• MBA/Master's degree in Applied Mathematics/Finance Engineering field

Desired / Plus:

• Work experience in relevant quantitative business or risk management function within corporate/investment bank
• Certifications/Licenses: CIA, CPA, CIDA, CAMS, CFA, FRM, Series 7, 63