Audit Portfolio Manager: CIB Model Risk (Market Risk) at Nedbank

Job 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. 
• Maintaining awareness of risk issues and changes across business units within Nedbank 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.
• Reporting significant issues related to the processes for controlling the activities of the Group whilst considering key/or emerging risks in annual audit plan.
• Ensuring continuous improvement of the quality of audits through providing professional insights;
• Providing insights from the outcomes of internal audit work to appropriate governing bodies, including the GAC and Board Risk Committee.
• Maintaining an open and constructive relationship as a Trusted Advisor with senior internal and external stakeholders including Institute of Internal Audit, SARB, External Audit and Business Executives.
• Building rapport and understand client current business reality, requirements, risks, and expectations and consider key and/or emerging risks in annual audit plan.
• Ensuring that billable hours, budgets, and resources are optimally planned, and quality audits are delivered.

Minimum Experience Level

• 3 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 minimal 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. 
• Knowledge relating to Corporate Investment Banking including Market Risk.

The following additional experience is preferred:

• Extensive internal/external audit and / or risk management experience in banking;
• Actuarial and/or Market Risk experience.

Essential Qualifications - NQF Level

• Advanced Diplomas/National 1st Degrees

Preferred Qualification

• A Business Mathematics/Actuarial/Financial Engineering/Informatics/Quantitative Risk Management Degree with majors in Mathematics and Statistics is essential. 
• A post graduate degree would be advantageous

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