What are the responsibilities and job description for the Model Internal Audit Consultant position at SOHO Square Solutions?
Location: New York.
Client: BCG.
Model Internal Audit Consultant
Task: Perform independent review of models.
The audit consultant will review all aspects of model development, validation and implementation to verify that model documentation meets standards set forth by the bank's policies and key regulatory bodies.
The model audit consultant will use their knowledge of modeling, the specific asset type, regulatory requirements and their quantitative skills to independently test:
• Model development
– Design, logic, and theory
– Data gathering and sourcing
– Assumptions and limitations
– Implementation and calibration
– Version management
– Development document
Model validation
– Conceptual soundness
– Challenger model
– Data and algorithms
– Output, processing and documentation
– Model performance metrics
– Back testing and sensitivity analysis
– Model monitoring for optimization
– Benchmarking with other models
– Validation document
• Model governance, policies and control framework
– Control framework
– Model inventory
– Documentation to regulatory requirements
– Organization roles and management/board ownership
Skill set
• Model development/ Model Validation experience
• Heavy quantitative skills
• Proficiency in C , SAS, LookAhead, etc.
• Strong technical writing skills
• Financial industry knowledge
• Knowledge of CVA, Ops Risks, PPNR, Retail/Wholesale, Structured products models
• Knowledge of key banking regulations
• CCAR/DFAST, capital planning and internal audit
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