Quant - Financial Risk Modeling / Internal Audit

Overview

Hybrid
$120,000 - $170,000
Full Time

Skills

Data Analysis
Credit Risk
Auditing
Java
Python
SEC
Market Risk
Quantitative Analysis

Job Details

INTERNAL AUDIT FINANCIAL RISK & MODELING

SALARY: $120k - $165k - $175k plus 15% bonus

LOCATION: Chicago, IL

3 days in office

Looking for a person who is a quant who does modeling. Financial risk management 80% of the time 20% audit. Minimum 5 years model risk management, masters, statistics financial engineering experience. executing model risk audits preferred evaluating complex derivatives and performing advanced statistical analysis on underlying risk factors

This role will be responsible for executing audits and validations related to Financial Risk, focused on quantitative analysis and systems implementation. Key responsibilities include reviewing advanced statistical and mathematical models, supervising multiple independent assessments (audits or validations) of risk models, risk applications and other risk items, collaborating with Internal Audit (IA) leadership to execute and improve the IA Risk Assessment (focused on financial risk elements), and addressing other objectives as required. The position requires advanced knowledge of mathematical and statistical modeling, expertise in risk management practices, and supervisory and strategic capabilities required to review models, including replicating certain components of risk models.

    • Lead or execute quantitative reviews/audits/validations (conceptual soundness, documentation, data, methodology, development code, testing, and implementation for accuracy) of models or financial risk tools used for credit risk, market risk, liquidity risk and stress testing.
    • Support financial risk management audits and validations as required.
    • Effectively communicate complex technical quantitative analysis (based on data and models), principles, methods, and approach to relevant stakeholders.
    • Perform audit activities including risk assessments, audit planning, audit testing, control evaluation, and complete work paper documentation in accordance with Internal Audit requirements (e.g. IIA GIA).
    • Communicate identified findings and enhancements to audit management and key stakeholders.
    • Draft audit reports clearly communicate overall conclusions, key risks, findings and their root cause, and impact overall risk exposure.
    • Perform continuous monitoring of model risk identifying patterns and trends to understand their impact on overall risk level and controls.
    • Effectively challenge risk management (first and second lines of defense) to adopt appropriate policies, procedures, and effective controls designed to mitigate financial risk.
    • Support the development or enhancement of audit procedures and templates for auditing financial risk management.
    • Support in developing and implementing data analytics and automated testing.
    • Ensure audit quality, accuracy of results, and delivery in a timely manner.
    • Proactively identify regulatory, operational, and/or strategic risks to the organization and present them to IA leadership.

Qualifications

    • Experience working in a complex, fast paced environment.
    • Experience using the principles, practices, and techniques involved in conducting audits in accordance with the requirements set forth in the Global International Audit Standards (IIA GIA).
    • [Preferred] Consulting and/or accounting firm experience.
    • [Preferred] Experience in Internal Audit, Model Risk Management, Financial Services/Securities Industry and working with regulatory organizations such as: Securities and Exchange Commission (SEC), Commodity Futures Trading Commission (CFTC), Financial Industry Regulatory Authority (FINRA), Federal Reserve.

Technical Skills

    • Experience in evaluating complex derivatives and performing advanced statistical analysis on underlying risk factors.
    • Experience with reviewing credit/counterparty risk and stress testing models for derivative instruments (e.g., Historical VaR, Monte Carlo, TIMS and SPAN).
    • Experience in data analysis and programming languages such as Python, C++, and Java.

Education and/or Experience

    • [Required] Minimum 5 years of experience in model risk management methodology.
    • [Preferred] master s degree in mathematics or Statistics, Financial Engineering, Economics, or other field possessing strong quantitative, analytical, and problem-solving skills. Alternatively, a Ph. D degree majored in quantitative field and over 1 year of work experience.
    • [Preferred] Experience in executing model risk audits.

Employers have access to artificial intelligence language tools (“AI”) that help generate and enhance job descriptions and AI may have been used to create this description. The position description has been reviewed for accuracy and Dice believes it to correctly reflect the job opportunity.