Specialist Model Risk Auditor

2 weeks ago

Johannesburg, Gauteng, South Africa FirstRand Full time
About us, purpose, experience and qualifications

about us:

purpose:

  • Credit risk models
  • Market risk models
  • Operational risk models
  • Pricing models,
  • Liquidity risk models
  • Pillar II Risk Models
  • Stress testing models
  • Regulatory and Economic capital models

experience and qualifications:

  • A Business Mathematics/Actuarial/Financial Engineering/Informatics/Quantitative Risk Management Degree with majors in Mathematics, Statistics is essential.
  • An Honours Degree would be advantageous.
  • Past working experience in a relevant role, i.e. model development, model validation or internal audit.
  • Knowledge of statistical, financial, risk and quantitative methods
  • Experience in using relevant software packages such as SAS, R, VBA and MATLAB.
  • Understanding of Credit, Operational Market and Liquidity Risk models as defined by Basel II & III will be preferable.
  • A comprehensive understanding of the regulatory frameworks and compliance requirements associated with financial services and experience of working within these

additional requirements:

  • There are no additional requirements associated with this vacancy.

responsibilities:

  • Investigating key aspect 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
  • 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 the FirstRand 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 worldclass perspectives and solutions.
  • Willingness to travel within South Africa and abroad is also essential.

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