Specialist Model Risk Auditor

9 months ago

Johannesburg, 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 world-class perspectives and solutions.
- Willingness to travel within South Africa and abroad is also essential.

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