Manager - Model Governance & Model Validation

دوام كامل في a Laimoon Verified Company في UAE

نُشرت يوم January 10, 2025

تفاصيل الوظيفة

Role : Manager - Model Governance & Model ValidationLocation : Abu Dhabi Role Purpose:This role supports a strategic function within Group Risk Management. It is a key contributor to the model risk governance & independent validation of models and more generally supports the bank with advance quantitative analytics capability and standards. The role also contributes to review of bank-wide exercises such as ICAAP and Stress Testing. It requires robust quantitative skills, independent thinking and articulate communication skill to interact with a diverse range of stakeholders within Group Risk. Key Accountabilities of the role Model Governance:

Support model risk management within the group and perform various model risk activities, such as model identification, model classification / tiering assessment, model inventory management, model risk controls and model risk reporting.

Support in the implementation of the model risk management framework across the group and ensure compliance with regulatory requirements and industry best practices.

Support in Identify, assess, and mitigate model risk and escalate any significant findings or incidents to model governance committee.

Ensure that the Bank meets the requirement of the CBUAE "Model Management Standards and Guidelines" as well as internal model validation and governance frameworks and policies.

Independent Model Validation:

Lead the implementation of the model validation framework in line with IFRS9 and Basel Requirement, among various asset classes and facility types.

Validate and review the various models of the bank with a focus on trading risk, market risk, credit risk, macroeconomic overlay models and ensuring that the model development are in line with the banks' policy and procedure and regulatory requirements.

Support the modelling team to ensure that models are fit for purpose and meet the demands of internal risk management and regulatory requirements.

Lead the development of statistical tools in Excel/VBA/R/SAS to analyze models' sensitivity and behaviour. Also, review the model documentation to ensure that it captures model theory, sensitivity, and limits.

Lead to the production of timely validation reports to Senior Management, to external and internal auditors and to the Compliance function as and when required.

Support the correction of any weaknesses identified during assessment or audit pertaining to models.

Provide oversight and guidance in terms of industry best practice for model development and quantitative related projects.

Contribute to ensuring that models provided by external parties (vendors, consultants) are robust and fully understood by the risk department - through comprehensive handovers. Take part in the implementation testing.

Contacts:

With

Frequency

Nature

Head - Model Validation and Model Governance

Daily/Whenever required

Discussion, consultation, progress, direction and others.

Group Chief Risk Officer

Monthly/Whenever required

Discussion, consultation, progress, direction and others.

Other Stakeholders within bank such as members of the ERM, Market Risk and with model owners / developers

Whenever required

Discussion, consultation, progress, direction and others.

Specialist Skills / Technical Knowledge Required for this role:

Minimum 8 years in a technical field within the financial or risk consultancy industry, especially with risk management.

A strong academic background with a quantitative major.

A professional certification or qualification in risk management, quantitative analysis, or a related field, such as FRM, PRM, CQF or CFA, is desirable but not mandatory.

Technical skills

A strong background and expertise in various types of models, such as credit risk, liquidity risk, market risk, capital, pricing and other risk models, and the associated methodologies, techniques, and tools.

Robust technical quantitative skills in the field of financial modelling.

Robust technical knowledge of credit scoring and market / trading systems and their use.

Experience of large and complex data sets.

Experience of statistical software (such as SAS, Python, VBA and R Statistics)

Knowledge of financial markets and products.

Robust knowledge of model risk management best practices and regulatory requirements - CBUAE model management standards and guidance document

Robust knowledge of risk management best practices and regulatory requirements - including Basel II & Basel III and IFRS9 regulations.

Interpersonal Skills

Self-starter, ability to work independently and undertake the necessary research.

Good oral and written communication skills in English

Ability to deliver presentations

Flexible team player and able to work and deliver under short deadlines

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الصفحة الرئيسية الإمارات العربية المتحدة Manager - Model Governance & Model Validation

الصفحة الرئيسية الإمارات العربية المتحدة Manager - Model Governance & Model Validation

Manager - Model Governance & Model Validation

تفاصيل الوظيفة

Apply safely

الشركة المعلنة عن الوظيفة

Confidential

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