Model Risk Lead Internal Audit

A leading securities firm is looking to hire a model risk lead within its internal audit department (the Third Line of Defence).

You will provide independent, objective assurance to the Audit Committee and Senior Management regarding the effectiveness of the firm’s Model Risk Management framework. You will be responsible for auditing the governance, development, validation, and ongoing monitoring of quantitative models used across the securities business (including pricing, risk management, and capital calculation).

You will critically assess whether the First Line (Model Owners) and Second Line (Model Risk Management/Validation) are operating in compliance with internal policies and Hong Kong regulatory requirements (such as SFC guidelines on internal controls and risk management for OTC derivatives).

1. Independent Audit Assurance: Lead and execute risk-based audits of the model lifecycle, including model development, implementation, independent validation, and ongoing performance monitoring. Assess the adequacy of controls designed by the First and Second Lines of Defence.
2. Technical Model Review: Conduct deep-dive technical assessments of complex models (e.g., derivatives pricing, VaR/ES, counterparty credit risk, capital models, and AI/ML models if applicable) to evaluate their conceptual soundness, implementation accuracy, and fitness for purpose.
3. Framework & Governance Assessment: Evaluate the adequacy of the firm’s Model Risk Management policies, model inventory, and risk rating frameworks. Ensure alignment with SFC regulatory expectations and global best practices.
4. Stakeholder Challenge: Engage with senior stakeholders in Risk, Quantitative Analytics, and the Front Office to challenge methodologies and assumptions. Communicate audit findings clearly to both technical and non-technical audiences.
5. Issue Remediation & Reporting: Draft high-quality audit reports with pragmatic recommendations. Track and validate the remediation of identified model risk issues and regulatory findings.
6. Regulatory Monitoring: Stay abreast of SFC regulatory changes (e.g., OTC derivatives reforms, capital requirements) and assess their impact on the internal audit plan.

1. Experience: 8+ years of relevant experience in Model Risk Management, Quantitative Risk, Model Validation, or Internal Audit (Model Risk focus) within an investment bank, securities firm, or regulatory body. Experience in a Big 4 audit practice covering financial/model risk is also highly relevant.
2. Technical Expertise: Strong understanding of financial modeling, stochastic calculus, and risk measurement methodologies. Experience reviewing or validating models related toderivatives pricing, market risk (VaR), or counterparty credit risk is essential.
3. Regulatory Knowledge: Familiarity withHong Kong SFC regulatory requirements (e.g., Internal Control Guidelines, OTC derivatives regime) and global model risk standards (e.g., SR 11-7).
4. Quantitative Skills: Proficiency in programming languages (Python, R, C++, or VBA) for the purpose of independent model testing and data analysis.
5. Language: Native or business-level Mandarin is required to effectively communicate with mainland China-based stakeholders and review documentation. Fluency in English is also mandatory.
6. Education: Advanced degree (MSc/PhD) in a quantitative discipline (Mathematics, Statistics, Financial Engineering, Physics, or Economics) is strongly preferred. Professional certifications (CIA, FRM, CFA) are advantageous.