Adequate internal model development, independent model validation and effective monitoring are integral components of model risk management in today's highly regulated financial environment. Within my client they share a strong sense of responsibility for improving the effectiveness of processes that control the risks they are facing as a financial institution. Ultimately, this protects the interests of my client's external clients.
The audit department conducts and coordinates audits within the area of Model Risk Management. The Model Risk Auditor will be part of a dedicated Model Risk team, which will support the various audit teams across the world on effectively assessing the components of the model life cycle (design, development, validation, implementation, monitoring) for both regulatory and non-regulatory models.
As a Model Risk Auditor, you will be assessing dedicated models as well as covering model risks during product and risk management audits, together with a team of auditors and risk specialists. Your audit procedures will consist of well-known validation and test techniques for both regulatory (e.g. AIRB, VAR/Expected Shortfall, IMM) as non-regulatory models (amongst others application, Pricing/Valuation, IFRS models, Machine Learning/AI). Audit findings are reported including suggestions for improvement and concrete recommendations and presented to senior management.
Your counterparts in my client's organisation are working in the front office, model development, global analytics, risk measurement and model validation departments. In cooperation, you will challenge them towards developing to industry best practice and new modelling techniques. In addition, you will support developing more data and analytics driven audits together with the auditors.
Your work environment:
As a Model Risk Auditor, you will be part of the Model Risk audit team. This team is part of the Audit Division Risk & Finance. The audit department is a highly professional organisation with approximately 20 audit teams across the globe and comprises a diverse international team of around 400 members. Together with your colleagues, you have worldwide coverage on Risk related audits. International audits are performed as a joint effort between local representatives and (central) risk specialists. When working at my client you will be operating at the very heart of the organisation. This also means that your work has the interest of regulators, external accountants and executive management.
Focus on development and growth:
At my client they realise that qualitative growth means that they always have to have the best people in the best positions. That's why they will invest in your personal growth and development. Within the audit department this is even more important, in order to stay closely connected to the rapidly changing internal and external environment. Theywill ensure that you are always up to date on the key developments in your area of attention, which allows you to continue improving your performance.
Interesting employee benefits package:
This is a full-time position of 36 or 40 hours a week. My client offers an attractive employee benefits package with excellent secondary labour conditions, that more than meet market conditions:
- a 13th month's salary
- 27 days holiday
- an annual public transport pass (OV-jaarkaart)
- several other advantages as can be read in the banking CLA.
Strong analytical and communicative skills:
A successful candidate should have strong analytical skills and the ability to challenge and improve models used within my client. Good communication and presentation skills are strong requirements. The candidate should have a pro-active attitude and a creative mindset. Experience in risk management and or front office is a prerequisite. The ideal candidate will have experience in both development and validation. You are accurate and describe yourself as a team player who is very capable of working in international teams, as well as independently when the task at hand requires. Awareness of risk processes and infrastructure and a strong understanding of risk regulations as well as risk measurement, including regulatory/economic capital calculations is key.
- have an academic degree and are preferably in the possession of a certification in Risk Management or in Internal Control / Administrative Organisation.
- have beyond 10 years relevant work experience in credit risk modelling/validation within a major bank or financial institution.
- have a comprehensive understanding of IRB regulation
- are fluent in English (fluency in other languages is much appreciated).
- a university degree (MSc or PhD) in economics, econometrics, mathematics, physics or engineering.
- keen interest in many aspects of financial risk management.
- are organisationally sensitive and effective in conflict management.
- have proven communication, convincing and advisory skills with the ability to work at all levels in the organisation.
- are persuasive; being able to 'get people on board' and ensure necessary buy-in from stakeholders.
- are willing to travel 6-10 weeks per year.