What are the responsibilities and job description for the VP Model Risk Internal Audit position at Madison-Davis, LLC?
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.
Salary : $180,000 - $190,000
