JCW is partnering with a leading financial services firm seeking an Audit Model Risk Subject Matter Expert with deep expertise in market risk modeling. This role will lead and execute independent assurance over the firm’s market risk models and model risk management framework, providing critical oversight of pricing, VaR, stress testing, and capital models used across trading and treasury activities. You’ll work closely with senior stakeholders in Risk, Model Validation, Front Office, and Internal Audit to challenge model design, implementation, and governance, ensuring models are robust, compliant, and fit for purpose.

Key Responsibilities:

• Lead and execute risk-based audits focused on model risk management, with a primary emphasis on market risk models (e.g., VaR, sensitivities/Greeks, stress testing, scenario analysis, capital models).
• Assess the design, implementation, and performance of market risk models, including data sourcing, assumptions, methodologies, and model limitations.
• Evaluate the model risk governance framework, including policies, standards, model inventories, risk rating, and model lifecycle management.
• Review model validation workpapers and documentation to independently challenge validation scope, tests performed, and conclusions reached.
• Assess controls around model implementation and usage, including end-user computing tools, system integrations, and reporting processes.
• Prepare clear, concise audit findings and reports, communicating complex quantitative issues to non-technical stakeholders.
• Partner with Internal Audit, Market Risk, Model Risk Management, and Front Office teams to agree on remediation actions, timelines, and ownership.
• Support continuous improvement of audit methodologies for model risk, including analytics, testing techniques, and documentation standards.
• Stay current on regulatory expectations and industry best practices related to model risk (e.g., SR 11-7, ECB TRIM, PRA SS1/23 or equivalents).

Ideal Candidate Profile:

• 7+ years of experience in model risk audit, internal audit, model validation, market risk, or a closely related quantitative risk function within financial services.
• Strong hands-on exposure to market risk models, such as VaR, sensitivities/Greeks, stress testing, P&L attribution, and risk capital models.
• Solid understanding of model risk management frameworks and regulatory guidance (e.g., SR 11-7 or similar regional standards).
• Quantitative background preferred (e.g., Math, Statistics, Financial Engineering, Physics, Economics or related field).
• Proficiency with analytical tools and languages (e.g., Python, R, SAS, or MATLAB) and comfort working with large datasets.
• Prior experience in internal audit or independent review of models is highly desirable.
• Excellent communication and documentation skills, with the ability to translate complex technical issues into clear business language.
• Professional designations such as FRM, CFA, CQF, or similar quantitative/ risk certifications are a plus.

Contact:

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