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Opportunity Description
Job Purpose
- Model Risk Management
Accountabilities:
- Development of comprehensive Model Risk governance framework based on various guidelines available in Basel, IFRS9, CBUAE recommendations and industry best practices.
- Annual validation of IFRS9 models to ensure model’s applicability based on recent data and to ensure best possible model using challenger models approach.
- Validation of credit risk models to assess all key aspects of model development including data quality, modelling methodology, sampling, variable selection criteria, and accuracy of the model. Also use challenger models to not only ascertain the best fit bit also advise on alternative methodologies.
- Validation of market risk models against available benchmarks and best industry practices. To ensure that models being developed are best suited for the purpose and follow all required statistical and industry standards.
- Manage comprehensive inventory of Bank’s risk based statistical models and to conduct periodic review of these models to ensure they are fit for the purpose they are developed for.
- Assess Model risk the bank is exposed to under various statistical models used by bank like IFRS9, Stress Test, Credit risk & Market Risk etc.
- Assist in validation of these models through statistical methodology.
- Assess all areas where Bank is exposed to Model Risk and maintain a risk register with mitigation plan and actions.
Skills
- Quantitative Modelling: Knowledge of Quantitative modelling and its validation.
- Quantitative Modelling: Knowledge of statistical model development process.
- Statistical Software: Knowledge of statistical software of SAS and/or R or Python is a must
- Bachelor degree preferred in Economics/Data analytics/Statistics; with 6+ years’ experience in Risk domain (quantitative modelling) in a reputed Bank in UAE.
Opportunity Details
Opportunity Division
Dubai, UAE
Opportunity Role
Risk Management
Job Department
Risk Management