Senior Manager - Corporate Risk AnalyticsAbu Dhabi Islamic Bank • United Arab Emirates
Senior Manager - Corporate Risk Analytics
Abu Dhabi Islamic Bank • United Arab Emirates
16 منذ أيام
الوصف الوظيفيQuantitative analysis & modelling : Take a lead role in developing non-retail credit rating models, macro-overlay models and LGD models and participate in development of retail banking rating models as and when required by the Head of the team. In line with the requirements, participate in the deployment and integration of non-retail credit models in bank’s systems and processes. Develop methodologies to ensure effective monitoring of the models. Conduct regular PiT and TTC calibration and optimization of the deployed models as regulatory guidance. Perform monthly ECL / Provisioning calculation and report as per agreed timelines. Also develop IFRS based provision forecasting model for budgeting purposes. Provide required input for ICAAP and Macro Stress Testing for the Non-Retail Portfolios. Support the team head in ensuring compliance requirements are fulfilled and assist him in other initiatives. Liaise with the validation team on a regular basis to build and maintain compliant models. Perform model remediation as per recommendation from validation team. Fulfill requests from the external and internal auditors and the Compliance functions are fulfilled as and when required. Coordinate with team head and validation team for model methodology review and approvals. Provide analytical support to the business. Co-ordinate with external vendors whenever required in relation to activities within scope. Assist in Cost-of-Credit budgeting exercise for non-retail products Review existing model development and ECL calculations considering changing market conditions based on regulatory recommendations / other best practices to ensure that a sound environment for identifying, assessing, measuring, monitoring and controlling risks are in place. Ensure correct functionality of the deployed models on the rating platform and institutionalize effective usage by conducting regular verification of inputs & outputs. Develop credit models as per requirements from the business, keeping in view the dynamics of credit portfolios and the best risk management practices. Lead the development of risk models of Basel / IFRS9 components i.e., PD, LGD, EAD etc., among various asset classes and facility types, ensuring these risk measures comply with regulatory requirements through robust modelling process. Address / facilitate correction of any weaknesses identified during assessments, audits, or examinations by internal / external audit staff, Group Compliance personnel, regulators examiners or Sharia’ auditors as applicable. Conduct monitoring of the deployed models on a regular basis and produce reports with recommendations for improvements to stakeholders. Create, maintain and update model / scorecard related documentation. Maintain historical datamart for non-retail products, with all the relevant parameter required for risk modeling, to bring efficiency and consistency in data preparation step of model development. Learning & Knowledge : Develop and lead training programs for team members, stakeholders on different conceptual aspects of quantitative analytics. 7 - 12 years in credit risk modeling, Basel II and IFRS 9 implementation in the banking sector Master’s degree in quantitative / finance, professional engineering or any other related field Professional Qualification such as FRM, PRM or CFA is highly desired Excellent Credit Risk modelling, analytical, and research skills. Experience working with large and complex data sets, including alternative data (bureau, open banking etc.) for credit models. In-depth knowledge of financial markets and products and abreast with latest analytical techniques including Machine Learning algorithms such as Support Vector Machines, Random Forest and Gradient Boosting etc. Possess superior knowledge of credit risk management best practices including but not limited to pertinent Basel II, Basel III and IFRS 9 Framework on expected credit risk loss, credit risk management and capital adequacy requirements. Possess strong quantitative skills and solid experience in developing, validating and monitoring risk models. Knowledge of the credit scoring systems available in the market and their use. Advanced user of statistical software (such as SAS and R or Python) Should have strong knowledge of handling Risk Technologies & its implementation. Ability to work independently on multiple tasks and / or projects. Excellent oral and written communication skills in English. Proficiency in risk concepts, banking products / operations / systems, pertinent regulatory requirements, Flexible team player and able to work and deliver under pressure.
Role : Senior Manager - Corporate Risk Analytics
Location : Abu Dhabi
Role purpose
- This role is of high importance within Group Risk Management which will have a direct impact on the compliance of the bank with regulatory mandate on model management.
- The impact of this role on the non-retail banking business would be direct and significant as the incumbent is required to develop and maintain credit risk and profitability models.
- The incumbent is expected to independently perform advance analytics on the portfolio and continuously advise the Head of the team on emerging trends.
- The role requires independent thinking, strong communication, initiative, team management, project management interaction with stakeholders within the team.
- The candidate will have specialized exposure and capacity to execute and deliver end-to-end risk analytics project and framework independently.
Main responsibilities
Key accountabilities of the role
Customer (Internal & External)
Internal (Processes, Products, Regulatory)
Qualification, skills / technical knowledge required for this role
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