About the Job

JCW is partnering with a leading financial services firm seeking a Senior Auditor – Modeling Specialist with advanced expertise in market risk modeling. This senior-level role will take ownership of end-to-end audit delivery for the firm’s most complex market risk models and model risk governance processes. You will provide high-impact challenge across VaR, sensitivities/Greeks, stress testing, and capital models, while advising leadership on model weaknesses, emerging risks, and evolving regulatory expectations. This position offers significant visibility with senior stakeholders across Risk, Model Validation, Internal Audit, Finance, and the Front Office.

Key Responsibilities:

• Lead and oversee complex audits covering model risk management with a primary focus on advanced market risk models such as VaR, stress testing, scenario design, and capital/derivative pricing models.
• Provide independent challenge to model methodologies, including assumptions, calibration techniques, data quality, performance testing, and model implementation.
• Evaluate the effectiveness of the model risk governance framework, including model inventories, tiering, lifecycle controls, and model change management processes.
• Review and challenge model validation work and quantitative testing to ensure appropriate depth, objectivity, and regulatory alignment.
• Assess model implementation controls across systems, reporting infrastructure, and end-user tools to ensure appropriate use and transparency of risk outputs.
• Develop and communicate high-quality audit reports and issue summaries for executive leadership, articulating complex quantitative issues in clear and actionable terms.
• Advise and influence senior stakeholders on model-related control gaps, risk themes, and remediation priorities.
• Support and mentor junior auditors, providing guidance on quantitative testing, analytical approaches, and documentation standards.
• Monitor regulatory developments and emerging expectations related to model risk (e.g., SR 11-7, ECB TRIM, PRA model expectations) and integrate them into audit planning.

Ideal Candidate Profile:

• 5+ years of experience in model risk audit, market risk, model validation, or other quantitative risk functions within financial services.
• Deep technical understanding of market risk models, including VaR, sensitivities/Greeks, stress testing methodologies, scenario design, and capital models.
• Strong knowledge of model risk management frameworks and global regulatory guidance.
• Advanced quantitative background (e.g., Math, Statistics, Financial Engineering, Physics, Economics).
• Proficiency in analytical programming languages such as Python, R, SAS, or MATLAB, with the ability to interpret and challenge complex model code.
• Demonstrated ability to lead audits, influence senior leaders, and provide high-quality challenge in a technical and fast-paced environment.
• Excellent communication and documentation skills, with a proven track record of translating quantitative issues into business-focused insights.
• Professional certifications such as FRM, CFA, CQF, or equivalent are advantageous.

Contact:

Tom Meberg partners with Audit, Risk, and Quant professionals nationwide. For more information, please contact [email protected].