Head of Basel Analytics & Capital Models

ADIB Group; Abu Dhabi; On-site; AED 300,000 - 450,000; Full time

Job summary

A leading financial institution in Abu Dhabi is seeking a Head of Basel Analytics & Capital Models. The role entails supervising risk assessments, conducting stress testing, and ensuring compliance with Basel regulations. Applicants should possess extensive experience in risk management and hold professional finance qualifications. This position offers the opportunity to lead a critical function within Group Risk and engage with senior management and key stakeholders.

Qualifications

• 10-15 years of relevant Risk Management experience.
• Professional finance/risk qualifications (CA, ACCA, FRM, CFA, PRM, etc.)

Responsibilities

• Supervise and manage ICAAP and capital adequacy exercises.
• Lead monthly computation of ECL for International Business Group.
• Coordinate annual budgeting process for Group Risk Management.

Skills

Robust knowledge of risk management best practices

Excellent analytical and research skills

Ability to work independently

Excellent oral and written communication skills

Team player

Education

Professional finance / risk qualifications (CA, ACCA, FRM, CFA, PRM)

10-15 years relevant Risk Management experience

Job description

Description

Role: Head of Basel Analytics & Capital Models

Location: Abu Dhabi

Role Purpose:

• The role requires supervision of the enterprise-wide exercises aimed at assessment of Capital Adequacy such as ICAAP Stress Testing and computation of Economic Capital.
• The role requires strong analytical capabilities communication and interaction with all key stakeholders within the bank.
• It also contributes to the monitoring of risk models and computation of monthly ECL.
• The role requires robust quantitative skills independent thinking and articulate communication skill to interact with a diverse range of stakeholders within Group Risk.
• The role is also required to coordinate the annual budget process for Group Risk Management.
• The role is also required to act as coordinator on behalf of ERM for the Business Continuity Management function.

Key accountabilities / responsibilities:

Basel Analytics:

• Supervise the execution of the ICAAP (Internal Capital Adequacy Assessment Process) by taking ownership of the key processes. This involves (i) planning and coordination of the contributing stakeholders (ii) financial modelling and (iii) preparation of the final reports and presentations to Senior Management and the Board for approval (iv) manage and improve the ICAAP and Risk Appetite related policies.
• Lead the execution of the enterprise-wide regulatory and internal stress testing exercise. This involves (i) interpreting and implementing technical regulatory requirements (ii) economic judgment in order to assess the severity of economic stresses (iii) detailed understanding of banking balance sheet modelling and projection (iv) review the stress testing output and ensure that changes are explained summarized to senior management (v) offer recommendations to improve the stress testing framework and ensure approvals by the Management Risk Committee and Board Risk Committee.
• Contribute to reviewing the construction of scenarios and associated statistical models.
• Contribute to the development maintenance and adequate use of capital-related models.
• Supports these projects by undertaking the necessary research underlying the design configuration and calibration of models.
• When required support the implementation of the model validation framework in line with IFRS9 and Basel Requirement among various asset classes and facility types.

Monthly ECL computation for IBG:

• Lead the process for monthly computation of ECL for International Business Group and issue summarized results to stakeholders.
• Other responsibilities:
• Coordinator for the annual budgeting exercise on behalf of Group Risk Management and perform periodic expense reviews.
• Coordinator for Business Continuity Management on behalf of Enterprise Risk Management
• Draft and maintain the relevant policies including Risk Governance Framework Risk Appetite Policy Stress Testing Policy and ICAAP Policy in coordination with various Business and internal stakeholders.
• Maintain and update a list of auditor categories for Business Units.

Education and experience:

• 10-15 years of relevant Risk Management experience.
• Professional finance / risk qualifications (CA ACCA FRM CFA PRM etc.)

Additional requirements:

• Robust knowledge of risk management best practices and regulatory requirements - including but not limited to Basel II & Basel III and IFRS9 regulations.
• Excellent analytical and research skills.
• In-depth knowledge of risk policies and practices.
• Expert level understanding of Financial Reporting Standards and understanding of Basel II/III etc.
• Ability to work independently on multiple tasks and/or projects.
• Excellent oral and written communication skills.
• Proficiency in risk concepts banking products/ operations/ systems pertinent regulatory requirements
• Team player and able to work and deliver under pressure.

Required Experience:

Director