Audit Portfolio Manager: Models (Market Risk Quant) at Nedbank

Job Purpose
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:

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

The successful candidate will also, as part of the audits, be required to interact with the relevant divisional teams in order to inform the scope of the assignment to be embarked on.

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

• 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).
• This includes experience in market risk modelling, valuation of financial instruments, model risk monitoring and validation, and development of analytical solutions.
• Financial market knowledge, including the knowledge of various financial instruments, and the valuation thereof.
• Preferred broad-based financial risk knowledge, including risk sensitivities, and firm-wide risk measures for market and credit risk.
• Experience in FRTB or IBOR transition would be ideal.
• Proficiency in programming software packages such as SAS, SQL, R, VBA, PYTHON and MATLAB. 
• Understanding of market, credit, and liquidity risk models as defined by Basel II & III will be advantageous.
• Ability to operate independently with minimal supervision. 
• 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.
• Essential Qualifications - NQF Level
• Advanced Diplomas/National 1st Degrees

Preferred Qualification

• A Business Mathematics/Actuarial/Financial Engineering/Maths of Finance/Quantitative Risk Management Degree with majors in Mathematics and Statistics is essential. 
• Relevant Masters (MCom / MSc /MPhil) or Honour’s degree.
• Sound understanding of quantitative methods and the application of these to financial risk management

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

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