Model Risk Audit (Credit Risk Modelling)

Role & responsibilities

• 6+ years of relevant exp in Wholesale or retail credit risk modeling (development or validation). BASEL, Internal rating based approach (IRB) mandatory; PD, LGD, EAD models. Retail scorecard model development / validation experience.

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 (Python, 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

1. Audit of model development and validation process within the Bank.
2. Updating risk and control matrix and checklist for audits being undertaken.
3. Undertaking detailed walkthrough of the processes being audited and develop data request for the audit
4. Updating of internal audit MIS with the status of audit observations and other actionable emanating to the audit department
5. Assisting in making presentations to senior management and audit committee on the audits undertaken and performance of internal audits
6. Provide necessary support in automating tests used in audit execution for achieving Continuous Control Monitoring (CCM)

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.

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