Manager Model Validation and Governance

Abu Dhabi Commercial Bank; Abu Dhabi; Hybrid; AED 120,000 - 180,000; Full time

Job summary

Join a forward-thinking financial institution that values your unique contributions and fosters professional growth. In this role, you will be at the forefront of quantitative risk management, ensuring compliance with Basel II/III standards while validating and developing risk models. With a focus on a disciplined approach to risk, you will collaborate with diverse teams to enhance risk awareness and drive organizational resilience. Enjoy a competitive salary, comprehensive benefits, and flexible working options that promote work-life balance. If you're passionate about making a difference in risk management, this is the opportunity for you.

Benefits

Competitive Salary

Comprehensive Benefits Package

Flexible Working Options

Learning and Development Opportunities

Qualifications

• 6+ years of experience in quantitative risk management.
• Strong understanding of Basel II/III standards and risk models.
• Advanced programming skills in Python, R, MATLAB.

Responsibilities

• Conduct validation procedures for trading book and IRRBBB models.
• Assess model appropriateness and construction for risk management.
• Communicate model risk issues and report findings effectively.

Skills

Quantitative Risk Management

Basel II/III Standards

Python

R

MATLAB

Foreign Exchange Markets

Liquidity Risk Management

Statistical Analysis

Education

Master’s Degree in Quantitative Science

Tools

MUREX

BLOOMBERG

REUTERS

MS Office (Word, Excel, PowerPoint, Outlook, Access)

Job description

Embark on a journey where your unique contributions are celebrated, and your professional growth is embraced. At ADCB, we nurture a diverse, inclusive community where every voice is valued.

About the business area - Group Risk Management

ADCB prioritises a disciplined approach to risk, recognising its fundamental importance to the Bank’s long-term organisational and financial resilience. Group Risk Management oversees the implementation of ADCB's risk objectives, identifying and addressing gaps in the bank's risk infrastructure/framework. Their responsibilities include nurturing the independence of the risk function, establishing provisioning policies, and introducing changes to energise risk awareness among front office personnel and decision-makers. Continuously tuning the risk organisation in line with market best practices, they manage ADCB's portfolio and associated risks to international standards, while establishing a clear risk culture across all areas of operation.

In this role, your key responsibilities include:

• To conduct and complete all validation procedures and validate trading book and IRRBBB models under the purview of the Model Validation and Governance Unit (MVG) to ensure the model risk is correctly appropriately managed according to ADCB’s Model Risk Management Policy and Model Validation Guidelines and comply with regulatory requirements set forth by the Central Bank of the UAE (CBUAE).
• Assess the appropriateness and construction of models (Front Office Pricing, VaR, Counterparty Credit Risk, Liquidity Risk, IRRBB and ALM models) with respect to their current or planned use in order to determine the level of model risk associated, its assumptions, mathematical implementation, the underlying data and its system implementation
• Review appropriate model risk assessments consistent with the model’s risk content and intended usage in order to produce a validation report according to the policy and format including identification of model limitations, assumptions, conditions for model use and level of model risk
• Obtain and provide information on models, communicate model risk issues and suggestions during the validation process, reporting on findings to ensure effective two-way communication with the Model Owners/Developers/Users set expectations
• Adhere to all relevant organisational and departmental policies, processes, standard operating procedures, and instructions so that work is carried out to the required standard and in a consistent manner while delivering the required standard of service to customers and stakeholders
• Manage self in line with the Bank’s people management policies, procedures, processes, and practices to ensure adherence and to maximise own contribution to business performance
• Demonstrate Our Promise and apply the ADCB Service Standards to deliver the Bank’s required levels of service in all internal and external customer interactions

The ideal candidate should have the following experience

• At least 6 years of experience in quantitative risk management with an excellent understanding of Basel II/III standards
• Master’s Degree in a Quantitative Science (Finance, Economics, Mathematics, Statistics, Actuarial Science, Financial Engineering or similar
• Prior experience developing or validating risk models from end to end
• Strong understanding of Foreign Exchange Markets, Money markets, Derivatives, Fixed Income, Structures and Liquidity Risk Management
• Advanced programming skills using statistical/mathematical software (Python, R, MATLAB) and MS Office (Word, Excel, PowerPoint, Outlook, Access)
• Experience with Market Risk & Front office Quant/ Risk Quant
• Advanced knowledge of MUREX (preferred), BLOOMBERG or REUTERS is an asset

What we offer:

• Competitive Salary & Additionally, all employees are eligible to participate in one of our rewarding variable pay plans.
• Comprehensive Benefits Package: This includes market-leading medical insurance, group life and personal accident insurance, paid leave and leave airfare, employee preferential rates on loans and finance facilities, staff discounts and offers, and children education assistance (for certain job levels).
• Flexible and Remote Working Options: We understand the importance of work-life balance and offer flexible working arrangements, subject to eligibility and job requirements.
• Learning and Development Opportunities: We value and facilitate continuous learning and personal development through a variety of exciting learning opportunities, such as structured instructor-led courses, a comprehensive e-learning catalog, on-the-job training, and professional development programs.

At ADCB, we are dedicated to creating a respectful, caring and disciplined work environment that aligns with your career ambitions.