Audit Portfolio Manager: CIB Model Risk - Johannesburg, South Africa - Nedbank

Nedbank Johannesburg, South Africa

1 day ago

Description

Requisition Details & Talent Acquisition Contact

REQ Tshego Semenya

Location: Johannesburg

Closing date: 12 March 2024

Cluster

Group Internal Audit

Career Stream

Auditing

Leadership Pipeline

Manage Self Professional

Position

Audit Portfolio Manager: CIB Model Risk (Market 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 Corporate Investment Banking including Market Risk.

The following additional experience is preferred:

Extensive internal/external audit and / or risk management experience in banking;
Actuarial and/or Market Risk experience.

Essential Qualifications - NQF Level

Advanced Diplomas/National 1st Degrees

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

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

Disclaimer

Preference will be given to candidates from the underrepresented groups

Please contact the Nedbank Recruiting Team at

Please contact the Nedbank Recruiting Team at

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