Audit Portfolio Manager: Model Risk

4 days ago

Johannesburg, South Africa Nedbank Full time

**Requisition Details & Talent Acquisition Consultant**
- REQ 119260- Tshego Semenya**Career Stream**
- Auditing**Leadership Pipeline**
- Manage Self Professional**Position**
- Audit Portfolio Manager: Model Risk**Job Purpose**
- To deliver on the annual audit plan thereby providing reasonable assurance to stakeholders that key risks are being mitigated through adequate and effective management controls in accordance with Group Internal Audit (GIA) methodology.- Each model audit assesses model design, model documentation, quality of model inputs and data, model implementation (usage) and model governance. It assesses the following models: Credit Risk Models, Market Risk Models, IFRS9, Pricing Models, Liquidity Risk Models, Pillar II Risk Models, Stress Testing Models, Regulatory & Economic Capital Models, Financial Crime Risk Models, Affordability Models/Tools.**Responsibilities**:

- Reviewing key aspects 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.
- Stakeholder engagements on audit issues identified.
- 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.
- Minimum Experience Level- 5 - 7 years extensive experience in model development, testing and validation or Model/Quantitative risk Audit (preferably within the banking or similar financial services industry);
- Ability to operate independently with mínimal supervision;
- Knowledge of statistical, financial, risk and quantitative methods;
- Proficiency in programming software packages such as SAS, SQL, R, VBA, PYTHON and MATLAB.
- Understanding of credit, operational, market and liquidity risk models as defined by Basel II & III will be advantageous
- A comprehensive understanding of relevant financial services regulatory frameworks and compliance requirements as well as practical experience of these.
- Extensive internal/external audit and / or risk management experience in banking
- Actuarial and/or Market Risk experience.(e.g., engineering), or a Chartered Accountant with credit risk experience.
- Essential Qualifications - NQF Level- Advanced Diplomas/National 1st Degrees
- Preferred Qualification- Degree in Mathematics, Financial Mathematics, Statistics, Economics or Actuarial Science, or a quantitative discipline (e.g., engineering), or a Chartered Accountant with credit risk experience.

**Technical / Professional Knowledge**
- Audit reporting
- Audit standards and practices
- Banking knowledge
- Governance, Risk and Controls
- Ethics and Fraud
- Reputational risk management
- Information technology
- Business writing skills
- Regulatory, Legal and Economics Principles
- Business Acumen

**Disclaimer**

**_Please contact the Nedbank Recruiting Team at
+27 860 555 566
_**
- **_Please contact the Nedbank Recruiting Team at
+27 860 555 566
_

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