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Model Internal Audit Consultant

New York, New York
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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