Senior Manager, Model Governance & Model Validation

Full time at a Laimoon Verified Company in UAE

Posted on October 14, 2024

Job details

Role : Senior 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 model validations and more generally supports the bank with advance quantitative analytics capability and standards. The role also contributes to the 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 roleModel Governance:Lead and manage model risk with the group and provide guidance and support on various model risk activities, such as model identification, model classification / tiering assessment, model inventory management, model risk controls and model risk reporting.Oversee the implementation of the model risk management framework across the group and ensure compliance with regulatory requirements and industry best practices.Identify, assess, and mitigate model risk and escalate any significant findings or incidents to model governance committee.Liaise with internal and external stakeholders, such as model owners, model developers, auditors, and regulators, and communicate effectively on model risk issues and remediation actions.Maintain and update model risk management policies, procedures, standards, and guidelines and ensure alignment with the group's risk appetite and strategy.Conduct regular model risk training and awareness sessions for model users and other relevant staff and promote a culture of model risk awareness and governance.Ensure that the Bank meets the requirement of the CBUAE "Model Management Standards and Guidelines".Independent Model Validation:Support in the implementation of the ADIB model validation framework in line with regulatory requirements, among various asset classes and facility types.Validate and review the various models in the model inventory by ensuring that the model development and review are in line with the banks' policy and procedure.Support the modelling team to ensure that models are fit for purpose and meet the demands of internal risk management and regulatory requirements.Support in the development of statistical tools in Excel/VBA/R/SAS to analyze models' sensitivity, model output review and comparing with challenger / replication model. Also review the model documentation to ensure that it captures model theory, sensitivity and limits.Lead to the production of timely validation reports to Head of Model Governance & Model Validation and Model Governance Committee.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 bank - through comprehensive handovers.ICAAP and Stress Testing:Contribute to reviewing the construction of scenarios and associated statistical models pertaining to ICAAP / Pillar II models.Contribute to review of stress testing exercises.Review the macro-economic enrichment process, associated macroeconomic scenarios needed for the stress testing exercise and associate documentation.Contacts:With Frequency NatureHead - Model Governance & Model Validation Daily/Whenever required Discussion, consultation, progress, direction, and others.Model Governance Committee Quarterly/Whenever required Discussion, consultation, progress, direction, and others.Other Stakeholders within bank such as members of the ERM and with model owners / developers Whenever required Discussion, consultation, progress, direction, and others.Specialist Skills / Technical Knowledge Required for this role:Minimum of 12 years of relevant experience in risk management, model development / model validation in the financial industry and/or consultancy.A strong academic background with a quantitative major. PhD in a quantitative field is desirable but not mandatory.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 skillsA 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 SkillsSelf-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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Senior Manager, Model Governance & Model Validation

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