Job Overview

Model Risk Senior Audit Manager / Model Validation

Location: Malaysia Salary:
Type: Permanent Contact: Hazel Rowe
Posted: 6 months ago

My client a global bank is looking for a Senior Audit Manager, Models Risk to support the execution of the Bank’s strategy for the audit coverage of Quantitative Models across Principle Risk Types. The role also includes execution of audits across risk management controls and governance.

Models support regulatory capital and margin calculations, loan loss reserving, capital and liquidity stress testing, and capital management. The definition of a model, and thereby the scope of internal controls extends beyond risk models. Model Risk is a non-principal risk type subject to increased regulatory focus, and emerging definition of Model Risk Appetite. As a result, there are increased audit requirements, both regulatory and risk-based that demands technical expertise and engagement with senior stakeholder at the Group-level.

The role has two sets of Bank stakeholders that further defines scope of responsibility:

  • Internal GIA stakeholders (Business Client Product Heads of Audit, Country Heads of Audit) providing guidance and support to enable consistent coverage of model risk oversight, or supervisory controls at levels below the Group.
  • Internal non-GIA stakeholders (Senior Managers in 2nd line model validation and oversight, and 1st line model development) providing audit service through periodic delivery of audits of controls and governance.

Ideal candidate will have

In-depth understanding of Quantitative Model Risk management, processes and associated control requirements;

Strong and impactful communicator, both within reports and verbally, with ability to clearly articulate controls to be tested and risks identified to both internal and business stakeholders

Proactive, self-directed and able to work with minimum supervision;

Experienced career internal (or external) auditor, or quantitative model risk practitioner

Advanced understanding of regulatory guidance and requirements around Model Risk management

Advanced knowledge of Credit and Traded Risk Models

Job posted by Hazel Rowe - Registration Number: R1114575