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Manager - Risk Models Job

Date:  13-Jan-2021
Business Unit:  Risk Management
Job ID:  489

Work location: Dubai
Preferred Candidate: Expat or National

Job Purpose

To support Market Risk, Capital Management and Models Function/ CRO in managing the Banks post implementation ofIFRS9, Basel III and CB compliance.  The role will be accountable for developing and maintaining a NBF Model Governance Framework that includes statements to model risk policy, materiality, procedures to development & testing, validation, and performance attributes.  In time the function will transition model maintenance from the Risk/End user function to other areas of the Bank.   The role is expected to cross train into managing capital management reporting and market risk tasks.

Key Accountabilities

NBF Model Governance 
Develop and operationalise an enterprise-wide governance Model Framework (MF) that is aligned to the Banks Enterprise-wide Risk Management Framework (ERM) and Risk Appetite Statement (RAS).

The MF should include statements including:

•    Defining a Model 
•    Listing Material Models within NBF
•    A methodology to how to develop, test, implement models 
•    Statements to model maintenance
•    Statement to periodic validation 
•    Validate Central Bank of UAE Stress Test and provide with internal validation report with supporting tests conducted for validation purpose. 

Risk Models

Oversee model risk management for the bank including model validation and the provision of model advisory support
Ensure the continuous improvement of Risk Models that are used by the bank through the development, testing, implementation and validation phases, whilst ensuring that all “material” models have appropriate documentation to the key assumptions, inputs and design mechanisms.  

Risk models include but are not limited to:
•    Credit Risk Rating (RR)
•    PD/LGD/EL
•    Basel Capital Models
•    Treasury Related models that derive RAS performance measures such as
o     LCR
o     NSFR
o     IRR/VAR
o     Funding or other
•    Operational Risk models or similar

Analyse the results of various models and assess the ongoing relevance. 

RR model review/validation, periodic re-calibration exercise & stress testing based on macroeconomic indicators

Drive operational efficiency by enabling redundancy of models on legacy operating systems (Excel/MS Access etc)

Continuously enhance Basel regulations across the bank for retail and wholesale businesses and ensure compliance with all regulatory requirements and standards.

Assist in the implementation of a Risk based pricing & Return on Capital (ROC) model and achieve effective implementation across the Bank with Business units, Finance and Credit. Enhance framework for FIRB readiness.

Other Accountabilities

Be the Bank’s lead implementation manager and knowledge facilitator on IFRS9 implementation – including acting as a conduit between Risk, Finance, IT, first line business and other key stakeholders on the provisioning landscape, related policy changes and model performance outcomes.

Manage the implementation and maintenance of IFRS model code and documentation to support the Credit Risk’s approach to provisioning:

•    Lifetime PD, LGD and EAD for Retail/Commercial/Corporate/other portfolios and assessing the optimisation of the modelling by business segment

•    Oversee the approach to maintain country/portfolio specific data to perform periodic model parameter calibration and score alignment

•    Maintain and document changes in model approaches, assumptions, model input calibration

•    Maintain up to date inventory of technical and model related documentation to support model validation and audit and self-assessment processes related to data and modelling of IFRS expected credit loss (ECL) impairment estimates.

•    Support department staff in the preparation of the the “Internal Capital Adequacy Assessment Process (ICAAP)” report and submit to Central Bank of UAE on an annual basis after getting the same approved by the Board of Directors through Risk Committee & Board Risk Committee.
•    Compute and analyse the Pillar II Capital Adequacy Ratio on monthly basis.

Prepare internal reports and MIS for Risk and disseminate the results of risk identification, assessment and measurement to Business, Finance, Treasury and other functions or committees in the organization.

Assist the Market Risk, Capital Management and Models function /CRO in the operational efficiency measures that improve automation of risk reporting to our stakeholder group

Cross train into other Market Risk & Model roles as required

Other Accountabilities

Job Context


Diploma/ Bachelors Degree, preferably in Commerce

Experience and Skills

Professional Qualification (Preferable)
Background and Experience
-    Minimum 7 years of experience in a banking or non-banking financial institution with experience in Basel & Risk Analytics
-    5 years statistical and risk model development
-    Proficiency in statistical or actuarial modelling using SAS or similar platforms
-    Excellent knowledge in data mining, business intelligence and computer programming
-    Knowledge of regulations and current regulatory issues relating to stress testing, capital requirements and risk management
-    Strong coding and program development skills in model implementation, organisation and manipulating large amounts of data (Advanced MS Excel/Access, VBA SAS)
-    Excellent Communication Skills
-    Quantitative modelling skills (e.g. advanced statistical models, econometric models)
-    Experience on working on Risk systems such as Fermat, Moody’s, SunGard etc and OLAP based engines for Business intelligence
-    Working knowledge of credit risk management

Behavioural Competencies

Change and Innovation - Proficient
Communication - Proficient
Working and collaborating with others - Proficient
Results Orientation - Proficient
Evaluating and Solving Challenges - Proficient

Technical Competencies

AML,CTF,Sanctions- Financial Crime- Risk Management- Basic
Regulatory Compliance and Fraud- Risk Management- Basic
Operational Risk Management -Risk Management- Basic
Credit Risk Management- Risk Management- Proficient
Risk Analytics and Basel - Risk Management- Advanced
Enterprise Risk Management (ERM) & Governance - Risk Management-Proficient
Cyber & Information Security - Risk Management- Basic
Market and Liquidity Risk Management- Risk Management- Advanced

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