About the Role
The candidate should have masters degree in Statistics, Econometrics, or a related quantitative field. Proven experience in Risk Modelling/Model validation and proficiency with statistical modelling software (R’ & SAS) is desired.
Key Responsibilities
- Model Risk specialist, in close collaboration with Risk Audit team members will execute audits and other
- model risk audit related activities to ensure efficient and high quality audit execution for critical models in use at the Bank.
- The internal audit role would include the following as part of the day-to-day job:
- Audit of model development and validation process within the Bank.
- Updating risk and control matrix and checklist for audits being undertaken.
- Undertaking detailed walkthrough of the processes being audited and develop data request for the audit
- Updating of internal audit MIS with the status of audit observations and other actionable emanating to the audit department
- Assisting in making presentations to senior management and audit committee on the audits undertaken and performance of internal audits
- Provide necessary support in automating tests used in audit execution for achieving Continuous Control Monitoring (CCM)
Qualifications:
Optimal qualification for success on the job is:
- Knowledge of SR 11-7 guidelines and its implementation for the model governance
- Experience in development and validation of statistical models in use across banks, primarily for the purpose of Credit underwriting and measurement & management of Credit Risk, Market & ALM Risk, ICAAP & Stress testing etc.
- Previous work experience in Risk Analytics or Model Risk team of a bank or Risk advisory team of leading consulting firm with majority of time allocated on developing or validating statistical/econometric models
- Proficiency in statistical modeling software ‘R’, Python, SAS & SQL is an added advantage • Excellent written and verbal communication skills
Role Proficiencies:
For successful execution of the job, a candidate should possess the-
- Knowledge of relevant Audit Systems
- Good communication (both verbal & written) and inter-personal skills
- Strong Excel and database manipulation skills, financial and statistical analysis skills)
- Ability to manage risk and uncertainty for self and team within a dynamic priority-setting environment
- Ability to prioritize and make decisions in a fast-paced environment
- Ability to manage multiple tasks/projects and deadlines simultaneously
Employment Type: Full Time, Permanent
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