Senior Model auditor

Responsibilities:

The senior auditor contributes to internal audit team's enterprise-wide coverage of model risk. Job will involve a varied degree of international exposure to various aspects of investment banking and may require travel.

• Participates in audit missions and other activities assigned by the regional Audit teams as required.
• Ensures compliance with IGAD rules and procedures.
• Contributes to the enrichment of the audit methodology as well as technical expertise.
• Ensures a good audit trail by performing the required updates within the mission tracking and piloting tools.
• Ensures that work has been carried out reliably and conclusively and that the working documentation makes it possible in particular to identify the root causes of the weaknesses identified.
• Contributes to the drafting of key audit documents and contributes to debriefing meetings.
• Assists auditors in the production of deliverables.
• Follows up the recommendations assigned, ensuring timely closure and escalation of any blocking points.
• Participates in recruitment interviews.

Competence to be demonstrated:

• Demonstrated expertise on the scope of intervention.
• Spirit of analysis, synthesis, height of sight and curiosity.
• Ability to mentor and support the development of skills for resources with a lower level of seniority (professional or risk-informed) than one's own.
• Active listening and empathy.
• Relational assistance, good oral and written communication (in French and English, taking into account the international dimension of the missions and the team).
• Control of regulatory constraints on its perimeter.
• Guiding and coaching junior members of the team on audit assignments.
• Lead/Drive the audits of varied complexity in accordance with methodology and timelines (when playing the role of Head of mission).
• Drives the mission as a project to ensure end to end delivery (when playing the role of Head of mission).

Key Activities:

1. Being a contributor to the audit life cycle from planning to testing, reporting and closure of findings under the guidance of the Head of Mission/Senior Auditors, he assists audit management in the execution of Audit plan. The audit work performed should comply with prescribed quality and timelines. Shared services missions may involve onshore travel.

2. The Auditor should be able to provide sufficient interventions and work autonomously on missions, focusing on:

3. Methodologies for calculating capital requirements for Basel models 2 through IRBA processes.

4. The models for the granting of consumer credit used in retail banking.
5. The valuation models of accounting provisions in accordance with IFRS 9.
6. The methodologies used for risk management.
7. Models for the valuation of derivatives used in corporate and investment banking.
8. Liquidity and IRBB models used in ALM.

9. Actuarial models used in insurance.

10. Interact with various lines of business and control functions to understand relevant aspects of model development, validation, governance, and use.

11. Evaluate model documentation/validation reports and document results.
12. Conduct internal control reviews on behalf of the corporation to identify financial risks, controls to mitigate the risks, and assess the control environment of each significant business process.
13. Assess the remediation of regulator and audit identified issues.
14. Responsible for working independently on complex model audit.
15. Assess inherent, control, and residual risks with expertise in modeling practices, techniques, and validation processes as well as risk management strategies and data analytics.
16. Maintains clear work papers and audit trail of the work done in the audit workflow tool, in accordance with the prescribed methodology.
17. Makes appropriate recommendations to improve processes.
18. Follows up recommendations issued timely and escalates when needed.
19. Develop stakeholder management skills as a part of Continuous audit monitoring.
20. Ensures effective and efficient execution of audits in conformance with professional and departmental standards, budgets, and timelines.
21. Research relevant banking, regulation, risk management, and operational topics.

Profile Required:

• CA/MBA Finance with 10-12 years of experience.
• FRM, CFA, Master's or Ph.D. in a quantitative discipline such as mathematics, statistics, operations research, physics, or economics.
• Execute all audits in accordance with professional standards.
• Assists audit management in preparation & execution of the audit plan.
• Prepares Audit work program and understands the specific risks to be evaluated.
• Performs evaluation of internal controls, testing of processes.
• Performs tests on the effectiveness of the Internal control environment.
• Maintains clear work papers and audit trail of the work done in the appropriate tool.
• Writes formal & clear reports to communicate audit results to management.
• Makes appropriate recommendations to improve processes.
• Timely issuance of the audit reports.
• Follows up recommendations issued timely and escalates when needed.
• Acquires knowledge on activities and risks during assignments and via trainings.

Technical skills:

• Experience with regulatory capital models, pricing models, stress testing, and loss forecasting models including some of the following: stochastic calculus, finite difference methods, Monte Carlo simulation, etc.
• Good understanding of financial markets.
• Experience in one of R, SAS, C++, MatLab, Java (Desirable), Python.
• Knowledge and experience of risk, modeling, and capital management requirements and processes.
• Expertise in development or validation of Credit risk models such as PD and LGD in the context of regulatory framework.
• Understanding of risk frameworks like Basel II – (A-IRB and IRRBB), Basel III - Liquidity Ratios, stress testing, etc.

Functional skills:

• Good understanding of Audit lifecycle from planning to closure of recommendations. Prior experience of performing controls testing and working with fair amount of autonomy.
• Sound understanding of Risk based audit methodology, risk assessment, and audit planning.
• Produces good quality statement of findings and ability to synthesize clear and concise thematic opinions.
• Ability to work on multi-location/global audit with large and diverse teams.
• Ability to work well with and communicate with others, from teammates to executives, and to present findings to upper level management and executives.
• Ability to manage multiple work efforts and to quickly change direction as needed.
• Sound understanding/exposure on quality initiatives within audit function.
• Fluent Command over English language (oral as well as written).
• Knowledge of Data Analytics would be an added advantage.