The Model Risk Management Audit Specialist works in the Risk Management Audit Team within the Internal Audit Department (IAD) and is responsible for supporting and assisting with the management of audits related to model risk management, including annual and continuous audits, reviewing and approving audit work papers, tracking outstanding audit/regulatory observations, and training audit staff.
Focus on model risk management (*MRM*) as a specialist with subject matter expertise, facilitating audits focused on MRM governance, model validation, model development documentation, ongoing model monitoring and evaluation, policies and procedures, as well as technical support involving quantitative and qualitative models of varying complexity and application.
Use of technical expertise to evaluate risks throughout engagements to ensure significant risk areas are adequately and appropriately tested.
Use subject matter expertise to additionally support audits in the Risk Management space, including Interest Rate and Liquidity Risk Management, CECL and other audits involving the use of models. Facilitate IAD's examination and assessment of models utilized, including identification of risks and weaknesses as well as controls to manage model deficiencies.
Be the primary source of IAD knowledge and expertise in the model risk management space, including technical understanding of model methodologies and rationales, industry practices, risks and controls.
Assist the Audit Directors in the development of the Audit Plan and performance of risk assessments within the MRM space.
Keep the Audit Directors and other IAD management informed of control weaknesses and emerging risks, regulatory concerns, thematic issues, and developing methodologies and technology in model-related areas.
Represent IAD as subject matter specialist for MRM in attendance of meetings and presentations, as well as interactions with regulatory institutions.
Support and engage in audits, including planning, risk and control evaluation, design of audit programs and testing procedures. Ensure that audit work is performed effectively and timely, and relevant control weaknesses are identified and reported.
Help ensure audit work papers have been reviewed and documentation meets IAD and professional standards. Support preparation of written audit reports that are clear and concise.
Effectively communicate findings to business area and IAD management on a regular basis (both orally and written) in a manner that helps them understand the risk/control issues.
Effectively track and assist in the validation of audit and regulatory issues in model and risk management areas. Provide formal and informal training to IAD personnel and other colleagues as needed, including feedback and supportive coaching in model-related areas.
Work constructively with other functions or department. Performs special projects, and additional duties and responsibilities as required.
Advanced degree (Master's or Doctorate) in a quantitative field, e.g. statistics, mathematics, engineering, physics, mathematical finance or related fields.
Eight years' experience in financial services industry or areas involving model development or assessment.
Experience in internal audit, risk management or risk oversight functions is desirable.
Comprehensive knowledge of model methodologies and quantitative techniques.
Awareness of model governance issues and impact of models on institution performance and viability.
Excellent verbal, written and interpersonal communication skills. Strong analytical skills.
Ability to work with all levels of staff and management.