Quantitative Senior Audit Project Manager

US Bank • New York, NY

40d • Hybrid

About The Position

The Quantitative Senior Audit Project Manager (QSAPM) position within Corporate Audit Services is primarily responsible for performing model risk related audit engagements with minimal supervision from managers. The QSAPM is expected to perform audit testing of model development, validation, and quality assurance, collaborate with stakeholders, and complete engagements in conformance with internal audit policies and procedures. The QSAPM should have advanced understanding of model risk management concepts, as described in OCC Bulletin 2011-12/ FRB SR 11-7, such as model development, implementation, monitoring, use, validation, governance, policies, inventories and controls.

Requirements

• Bachelor's degree in a quantitative field, and 10 or more years of relevant experience
• MA/MS in a quantitative field, and six or more years of related experience
• PhD in a quantitative field, and five or more years of related experience

Nice To Haves

• Advanced knowledge of various regression techniques, parametric and non-parametric algorithms, time series techniques, and AI/ML models - including supervised and unsupervised learning approaches - along with expertise in model validation methodologies and performance testing, using SAS, Python, or similar statistical and AI/ML packages
• Ability to effectively challenge model development/validation of various statistical and/or AI/ML models covering balance sheets, treasury, interest rates, pricing/valuation, derivatives, PPNR, credit, AML, fraud, scorecard and other areas,
• Knowledge of quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
• Ability to manage multiple tasks across various timelines
• Strong analytical, organizational, problem-solving, negotiation, and project management skills
• Effective interpersonal, verbal and written communication skills
• Ability to build and continuously improve working relationships with internal audit peers, business line leaders, and partners (risk and compliance)
• Demonstrated independence, teamwork and leadership skills

Responsibilities

• Reviews and analyzes the development, implementation, use, monitoring, and validation of complex statistical and AI/ML models covering balance sheets, treasury, interest rates, pricing/valuation, derivatives, PPNR, credit, AML, fraud and other areas, and making appropriate conclusions, and recommending necessary action plan where needed.
• Specific focus on documenting the testing of advanced statistical and AI/ML models and communicating the results of such testing to stakeholders within the Bank.
• Provides quantitative expertise to assist in completion of the audit plan, including collaborating with other audit teams regarding advanced statistical and AI/ML models.
• Interacts regularly with business line and model risk management leaders, and internal and external subject matter experts.
• Assists in adjusting the audit plan where appropriate based on those interactions.

Benefits

• Healthcare (medical, dental, vision)
• Basic term and optional term life insurance
• Short-term and long-term disability
• Pregnancy disability and parental leave
• 401(k) and employer-funded retirement plan
• Paid vacation (from two to five weeks depending on salary grade and tenure)
• Up to 11 paid holiday opportunities
• Adoption assistance
• Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Industry: Credit Intermediation and Related Activities
• Number of Employees: 5,001-10,000 employees