Model Risk Internal Audit AVP

Job Description

I’m currently working on a really interesting opportunity within a specialist Internal Audit team for an AVP level hire focused on Model Risk. This offers the chance to combine quantitative model knowledge with audit and assurance exposure, while working closely with a wide range of stakeholders across the business.

This role will suit candidates with experience in Model Validation, Model Development, Model Risk Management or Internal Audit with a strong quantitative focus. The successful candidate will join a team providing independent assurance across IRB credit risk models and the wider model lifecycle, with exposure to high profile regulatory and technical work.

The role

You will support audit reviews across model methodology, governance, controls and regulatory compliance, with a particular focus on IRB models including PD, LGD and EAD. The work includes reviewing self assessment templates and supporting documentation linked to regulatory submissions, as well as broader thematic audit work across model risk.

You will be engaging closely with stakeholders across Model Development, Validation, Model Risk and Regulatory Reporting, while also contributing to audit planning, risk assessment and the delivery of well evidenced audit findings.

Key areas of focus

• IRB credit risk models including PD, LGD and EAD
• Model governance, controls and documentation
• Validation reports and model performance monitoring
• Data quality and regulatory compliance
• Basel 3.1, CRR and PRA model risk expectations
• Thematic model risk audit work across the model lifecycle

What we are looking for

• Experience in Model Validation, Model Development, Model Risk Management or Internal Audit with a quantitative focus
• Good understanding of IRB credit risk models and regulatory expectations
• Familiarity with Basel 3.1, CRR and PRA guidance such as SS1/23
• Strong analytical skills and the ability to interpret complex technical documentation
• Clear communication skills and the confidence to work with senior stakeholders
• Prior exposure to regulatory submissions, model assurance or risk reviews would be highly beneficial