Model Risk Auditor - Contract to Perm

Location
New York, USA
Salary
95/hr - 105/hr based on experience level
Posted
Aug 26, 2020
Closes
Sep 19, 2020
Ref
8333821
Job Function
Compliance/Regulatory
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
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

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