Manager - Retail Risk Modelling & IFRS9 | Dubai, UAE

Job Description

Job Purpose

The role is to support the development, enhancement and implementation of a suite of credit risk rating methodologies, models and scorecards compliant with regulatory requirements (e.g., IFRS 9, Stress Testing etc.) and also accountable for maintaining the Bank's model inventory. Responsible for maintaining Retail Credit Risk models/ scorecards with the aim to deliver robust tools that are compliant with both internal and external regulations and provide business insights and recommendations. Role includes collaboration with the other stakeholders to ensure models and methodologies are appropriate given overall governance framework and regulatory requirements.

Key Responsibilities

• Lead and perform the development and implementation of retail risk scoring models across life cycle of various retail portfolios (IFRS 9 Models, and Stress Testing).
• Assist Business, Risk, Finance, Audit departments in scorecard related queries and provide with necessary information.
• Work closely with all stakeholders to develop and implement PD, EAD, LGD models, assist in ECL calculation and validation for IFRS9 reporting in addition to creating stress testing models and policies.
• Support Model validation team for model amendments, validation, and verification.
• Review Bank's risk scoring models and identify opportunities to improve the models and processes, make recommendations to senior management for model change/ enhancements and implement cutting edge techniques in order to maximize value and develop best in class decision tools.
• Oversee accurate implementation of models and support their use, interpretation and monitoring and constantly realign models to monitor performance with the aim to provide ongoing guidance on all lending activities for retail portfolios.
• Develop new, maintain and enhance retail scorecards (application, behavior, collections/recovery, etc.).
• Liaison with business functions, credit approval, collections and other related functions to drive use, monitor overrides, analyze new requirements and feedback on existing models.
• Develop and maintain a model inventory and ensure the inventory is complete, accurate, and consistent with the model governance policy.
• Propose amendments in the scorecards depending on policy changes and accordingly validate and implement the changes.

Competencies/Skills

Minimum 6 - 8 Years of extensive experience in a quantitative role in risk management at a financial institution with first-hand practical experience with retail credit risk model development.