VP Model Risk Internal Audit

Title: Vice President of Internal Audit-Model Risk

Office Status: Hybrid

Compensation: $180k-$190k base + 20-25% bonus

This top ten global investment bank is looking for a Vice President that will specifically focus on Model Risk. This position requires an understanding of SR 11-7 guidance on model risk management.

Responsibilities:

• Provide independent third line review of a variety of pricing, risk, margin and other models as applicable.
• Evaluate the model documentation based on various aspects including – model data and parameters, design and methodology, implementation and model documentation.
• Ensure compliance with Model Risk Management Policy and applicable regulatory guidelines such as SR 11-7
• Document third line work in compliance with the Internal Audit Manual.
• Evaluate the first and second line documentation and either perform or ascertain that the necessary challenge and evaluations were adequately completed and properly documented.
• Assess model assumptions and limitations.
• Communicate results and discuss issues, challenges and methodologies with internal audiences including senior management.

Qualifications:

• Knowledge of derivatives pricing theory across one or more asset classes (IR/FX/Credit/Equity), traded products and market/credit risks.
• 7 - 10 years of work experience performing one of the following- model validation, model development, risk management or related fields.
• Understanding of SR 11-7 guidance on model risk management,