NO OPT

INTERNAL AUDIT FINANCIAL RISK & MODELING

This is really a person who is a quant who does modelling Financial risk management 80% of the time

20% audit

Is familiar with Python, understands the code

Archer is a plus

Salary: 150-170K + Bonus

LOCATION: CHICAGO

3 DAYS IN OFFICE 2 DAYS REMOTE

Experience calculating complex derivatives and performing advanced statistical analysis on underlying risk factors. credit counter party risk & stress testing models for derivative instrument to credit historical VaR monte carlo TIMS and span data analysis and programming python C++ Java experience in internal audit model risk management financial security industry SEC CFTC

This role will be responsible for executing audits and validations related to Financial Risk, focused on quantitative analysis and systems implementation.

• 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 (eg IIA GIA).
• Communicate identified findings and enhancements to audit management and key stakeholders.
• Develop and maintain a thorough understanding of the operating environment of the assigned areas, including key business products, data infrastructure and lineage, roles and responsibilities of various groups relevant to model risk, and regulatory environment.
• Coach and develop junior audit staff in financial risk management practices as part of their on-going development.
• Perform other duties as assigned.

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 (eg, 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] masters 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.

Certificates or Licenses

• [Preferred] Certification such as Professional Risk Managers International Association Professional Risk Manager (PRMIA-PRM), Financial Risk Manager (FRM), Certificate in Quantitative Finance (CQF), Chartered Financial Analyst (CFA), Certified Financial Services Auditor (CFSA), Certified Internal Auditor (CIA), Certified Public Accountant (CPA), or equivalent.