Head of Financial Models

Job Purpose

This job entails management of all risk analytics work streams related to Wholesale/Retail and Treasury Risk models. This is a very specialized role requiring a higher level of technical and analytics/ statistical skills.

Principle Accountabilities

• Development/monitoring of Wholesale/Retail credit risk models to support the assessment of ongoing credit risk profile inputs for the calculation of regulatory capital, IFRS9 / ECL Expected Credit Loss and Loss Allowance.
• As required, support and provide input into Wholesale/Retail Credit Risk with the development of acceptance scorecards, behavioral scorecards, and initiatives to develop the internal credit rating systems.
• Make key recommendations on model enhancements, including the development of statistical and analytical approaches that can improve quality and accuracy i.e. credit risk ratings, loss estimates, risk-weighted assets, stress testing, regulatory capital, ICAAP requirements, and to calibrate Through-The-Cycle and Point-In-Time default models.
• Interpretation of internal governance, policies, and Central Bank regulations pertaining to Model Risk.
• Development/monitoring of Treasury Models like IRRBB, VaR, XVA, PFE, etc.
• Upkeep of model documentation, including standard operating procedures, manuals and policies.
• Continuously review the Bank’s strategy for Risk/Treasury Models and provide the right inputs to the Senior Management to highlight both the key risks as well as opportunities within the Retail Portfolio.
• Provide support to the Wholesale/Retail Credit Risk team and Treasury with information to enable decision making i.e. Wholesale risk strategies and portfolio actions.
• Regular communication with Internal stakeholders: Product, Audit, Technology, Finance, Operations. And External stakeholders: Auditors, CBUAE, Consultants, and Vendors.
• Interactions with the Senior Management often during meetings or for Risk Model related models matters.
• Providing management information to enable Board reports, risk reports, and regulatory reports.

Experience and Qualifications

• 10+ years’ experience of working in credit / risk/Treasury modelling for a leading Bank.
• Experience in Credit/Treasury risk/rating model development/ validation procedures and concepts and ability to manage own assignments independently.
• A degree in a numerate subject (e.g. mathematics, statistics, operational research, economics or MBA) from a reputed institute with knowledge of advanced statistical and analytical techniques.

Skills

• Strong Data Analytical skills.
• Extensive experience manipulating and analyzing large amounts of complex data, building and implementing predictive models
• Strong verbal and written skills that ensure you can explain technical concepts to less technically focused colleagues and produce suitable documentation.
• Database management including Risk models and Reporting tools
• Strong knowledge on R packages, MS Access, Excel and Power BI.
• Strong knowledge of credit modelling using statistic tool such as SAS, SQL analytical tools, SPSS.