Audit Portfolio Manager: CIB Model Risk (Market Risk)
Nedbank
- Johannesburg, Gauteng
- Permanent
- Full-time
Each model audit assesses: model design, model documentation, quality of model inputs and data, model implementation (usage) and model governance. It assesses the following models:
- Credit risk models
- Market risk models
- IFRS9 Models
- Pricing models
- Liquidity risk models
- Pillar II Risk Models
- Stress testing models
- Regulatory and Economic capital models
- Financial Crime Risk Models
- Reviewing key aspects 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.
- Stakeholder engagements on audit issues identified.
- 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 Nedbank 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.
- Reporting significant issues related to the processes for controlling the activities of the Group whilst considering key/or emerging risks in annual audit plan.
- Ensuring continuous improvement of the quality of audits through providing professional insights;
- Providing insights from the outcomes of internal audit work to appropriate governing bodies, including the GAC and Board Risk Committee.
- Maintaining an open and constructive relationship as a Trusted Advisor with senior internal and external stakeholders including Institute of Internal Audit, SARB, External Audit and Business Executives.
- Building rapport and understand client current business reality, requirements, risks, and expectations and consider key and/or emerging risks in annual audit plan.
- Ensuring that billable hours, budgets, and resources are optimally planned, and quality audits are delivered.
- 3 years + extensive experience in model development, testing and validation or Model/Quantitative risk Audit (preferably within the banking or similar financial services industry);
- Ability to operate independently with minimal supervision;
- Knowledge of statistical, financial, risk and quantitative methods;
- Proficiency in programming software packages such as SAS, SQL, R, VBA, PYTHON and MATLAB.
- Understanding of credit, operational, market and liquidity risk models as defined by Basel II & III will be advantageous
- A comprehensive understanding of relevant financial services regulatory frameworks and compliance requirements as well as practical experience of these.
- Knowledge relating to Corporate Investment Banking including Market Risk.
- Extensive internal/external audit and / or risk management experience in banking;
- Actuarial and/or Market Risk experience.
- Advanced Diplomas/National 1st Degrees
- A Business Mathematics/Actuarial/Financial Engineering/Informatics/Quantitative Risk Management Degree with majors in Mathematics and Statistics is essential.
- A post graduate degree would be advantageous
- Audit reporting
- Audit standards and practices
- Banking knowledge
- Governance, Risk and Controls
- Ethics and Fraud
- Reputational risk management
- Information technology
- Business writing skills
- Regulatory, Legal and Economics Principles
- Business Acumen