Audit Portfolio Manager: Model Risk at Nedbank

Job Purpose

To conduct portfolio audits and manage stakeholder relationships to ensure risk is mitigated in accordance to Nedbank Group standards.

Job Responsibilities

To deliver on the annual audit plan thereby providing reasonable assurance to stakeholders that key risks are being mitigated through adequate and effective management controls in accordance with Group Internal Audit (GIA) methodology.

Each model audit assesses: model design, model documentation, quality of model inputs and data, model implementation (usage) and model governance. It assesses the following models:

• Credit risk models
• Market risk models
• IFRS9 Models
• Pricing models
• Liquidity risk models
• Pillar II Risk Models
• Stress testing models
• Regulatory and Economic capital models
• Financial Crime Risk Models

Essential Qualification

• Business Mathematics/Actuarial/Financial Engineering/Informatics/Quantitative Risk Management Degree with majors in Mathematics and Statistics

Essential Certifications

• Certified Information Systems Auditor (CISA) and optional Certified Internal Auditor (CIA)
• Certified Internal Auditor (CIA) or Certified Information Systems Auditor (CISA) or Certified Financial Services Auditor (CFSA)

Preferred Certifications

• Post graduate degree

Type of Exposure

• Influencing stakeholders to obtain buy-in for concepts and ideas.
• Conducting quality assurance reviews
• Sharing information in different ways to increase stakeholders understanding
• Building and maintaining effective relationships with internal and external stakeholders
• Auditing
• Interacting with diverse people
• Analysing and interpreting qualitative and quantitative data
• Financial services; preferable banking
• Communicating standards to others
• Consolidate data from various sources and identify/interpret trends

Minimum Experience Level

• 5 - 7 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.

The following additional experience is preferred:

• Extensive internal/external audit and / or risk management experience in banking.