Audit Portfolio Manager: Model Risk (Credit Risk)

Job Classification

REQ 132703- Tshego Semenya

Location: Johannesburg

Closing date: 13 March 2024

Cluster

Group Internal Audit 

Career Stream

Auditing

Leadership Pipeline

Manage Self Professional

Position

Audit Portfolio Manager: Model Risk (Credit Risk)

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:

• 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

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

• 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 Credit Risk.
• The following additional experience is preferred:
• Extensive internal/external audit and / or risk management experience in banking;
• Credit Risk experience.

Essential Qualifications - NQF Level

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

Behavioural Competencies

Disclaimer

Preference will be given to candidates from the underrepresented groups

Please contact the Nedbank Recruiting Team at +27 860 555 566