Specialist Model Risk Auditor – Sandton, Johannesburg

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.