Model Audit

Role & responsibilities

The role of Auditor involves:

• Review and assess the model governance, development, validation, documentation, and implementation to evaluate the effectiveness of the scoring, economic capital, rating and other models using statistical, machine learning techniques.
• Automate audit testing by utilizing a variety of modeling, data analysis, and programming tools.
• Identifies anomalies, trends, and risks by analyzing large, complex data sets.
• Ability to evaluate models across multiple functional domains, such as wholesale, retail, fraud, etc.
• Proficiency with Python/R, SQL Server, SAS, Excel, JIRA, Bitbucket.
• Opportunity to contribute to one or more areas of audit covering risk function like audit of Credit Risk, Market Risk, Operational Risk, Pillar II, ICAAP, ERM, Fraud Risk as per RBI guidelines.

Key Responsibilities

• Review and assess the model governance, development, validation, documentation, and implementation to evaluate the effectiveness of the scoring, economic capital, and rating models using statistical, machine learning techniques. 
• Drafting of detailed audit reports with assessment details, preparation of supporting workpapers, clearly documenting the observations noted with implications and recommending corrective actions to auditee. 

Preferred candidate profile

• A master's degree in Statistics, Mathematics, or related fields. 
• 7 - 12 years of experience in the financial services industry, preferably with model development, validation, model risk audit, data analytics. Understanding of Risk Management processes like Market, Credit , Operational, ALM, Capital adequacy, Fraud is good to have but not essential.  
• Demonstrate good understanding of model risk function.
• Knowledge of various modelling techniques used in the banking industry.
• Experienced with various programming languages used in risk modelling.
• Drafting of detailed audit reports with assessment details, preparation of supporting workpapers, clearly documenting the observations noted with implications and recommending corrective actions to auditee.
• Coordinating and supporting the Banks compliance team during RBI Audits and other external audits.
• Good communication (both verbal & written) and inter-personal skills.
• Ability to work as a part of team and contribute towards team goals.