Top Chinese securities firm
Strategic Audit Management
- Audit Universe: Define and maintain the comprehensive model risk audit universe across the firm’s first line and second line of defense for model risk.
- Regular Planning: Design the risk-based regular model audit strategy.
- Regulatory Compliance: Ensure alignment with relevant regulatory standards on model risk management.
- Board Reporting: Present key model risk findings to the senior management.
Operational Oversight & Execution
- Model Ownership: Challenge model owner’s and model developer’s practice on the model governance process.
- Model Validation: Challenge model validation practice including assumptions, methodologies, technology, data integrity, procedures, documentations, model use, model life cycle management etc to ensure complete and accurate execution.
- Scope Coverage: Lead and execute complex model audit projects across the firm globally including pricing models, VaR, and Credit Risk models etc.
- Risk Identification: Detect hidden model governance gap and unmonitored model risk aspects.
- Recommendations: Provide independent assessment and recommendations to strengthen model risk management.
- Remediation Tracking: Track and independently verify management’s remediation of audit findings.
Team Leadership & Stakeholder Management
- People Leadership: Lead audit engagements and coach junior auditors and subject matter specialists.
- Project Management: Lead the delivery and execution of model audit plan. As Auditor-in-Charge to direct and supervise audit teams from inception to completion including planning, testing, issue identification, workpaper review and reporting. Provide support in preparation of management reports and regulatory presentation in English or Chinese.
- Resource Allocation: Identify and coordinate appropriate quantitative expertise required for assigned audits.
- Executive Liaison: Engage the Chief Risk Officer, head of model risk management, and business line heads as an independent assurance provider. Effectively communicate with stakeholders and audit senior management to clearly articulate audit strategy, testing results and corrective measures. Maintain constructive and professional working relationships with external auditors and regulators while preserving audit independence.
Experience & Education
- Track Record: 10+ years in quantitative risk management, model validation, or model audit in the banking and finance industry, or consulting companies, preferably in the second or third line of defense roles for model risk.
- Banking Expertise: Deep understanding of investment banking products, derivatives, trading and risk management systems.
- Academic Background: Master’s or PhD in Mathematics, Financial Engineering, Physics, Statistics, Computing, Economics or relevant numerical subject.
Technical Skills
- Model Mechanics: Mastery of stochastic calculus, Monte Carlo simulations, derivatives pricing models, market risk models, and credit risk models etc.
- Programming: Proficiency in quantitative coding languages like Python or C++.
- Regulatory Knowledge: Thorough grasp of global regulatory standards on model governance and model risk management frameworks. Demonstrate a deep understanding of internal audit techniques and audit principles as well as the ability to apply internal requirements.
- Communication Skills: Excellent communication, presentation and professional skills including the ability to interact effectively at all levels within the organization.