Relationships between Internal Audit and Risk Managment

I am interested in how other credit unions established working relationships between Internal Audit and Risk Management.  The IIA published an ERM Position Paper which is fairly clear on Internal Audit's role in ERM.  However, I wondered if in practice any credit unions forned working unions of Internal Audit and Risk Management.  I would appreciate a description of the roles and responsibilities as well as the reporting chain up to the Supervisory Committee.  When I refer to Risk Management, I'm using the definitions, objectives and components described in COSO's ERM framwork.  If you believe this is an inappropriate combination, I'm interested in your opinion as well.