Model Risk Audit

Skillventory

6 - 11 years

6 - 11 Lacs

Navi Mumbai Maharashtra India

Posted:1 day ago| Platform: Foundit logo

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Skills Required

R Risk Management

Work Mode

On-site

Job Type

Full Time

Job Description

Model Risk Auditor

Roles & Responsibilities:

Model Assessment
: Review and assess
model governance, development, validation, documentation
, and implementation to evaluate the effectiveness of scoring, economic capital, and rating models using statistical and machine learning techniques.
Audit Automation & Data Analysis
: Automate audit testing by utilizing a variety of modeling, data analysis, and programming tools. Analyze large, complex data sets to identify anomalies, trends, and risks.
Functional Domain Evaluation
: Evaluate models across multiple functional domains such as wholesale, retail, and fraud.
Audit Reporting
: Draft detailed audit reports with assessment details, prepare supporting work papers, document observations with implications, and recommend corrective actions.
Audit Support
: Contribute to one or more areas of audit covering risk functions like
Credit Risk, Market Risk, Operational Risk, ICAAP, and ERM
, as per
RBI guidelines
.
External Coordination
: Coordinate and support the bank's compliance team during
RBI Audits
and other external audits.

Skills Required:

Strong understanding of the
model risk function
and various modeling techniques used in the banking industry.
Proficiency with
Python/R, SQL Server, SAS, Excel, JIRA, and Bitbucket
.
Experience in model development, validation, or model risk audit.
Ability to work with large, complex data sets.
Excellent communication (both verbal and written) and interpersonal skills.
Experience in drafting detailed audit reports.
Knowledge of risk management processes like
Market, Credit, Operational, ALM, Capital adequacy, and Fraud
is a plus.

QUALIFICATION:

A master's degree in Statistics, Mathematics, or a related field.

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