Model Risk And IFRS9

VAM Systems Inc.; Dubai; On-site; AED 300,000 - 520,000; Full time

Job summary

VAM Systems Inc. seeks a senior Model Risk & IFRS9 specialist in the UAE to lead end-to-end risk data pipelines and govern data for PD, LGD, and EAD models.

The role requires 5+ years in risk/financial services, IFRS9 experience, and strong SQL/SAS/Python skills to support ECL calculations and regulatory reporting.

Qualifications

• Minimum 5 years of experience in risk and financial services, quantitative modelling.
• Strong IFRS9 impairment knowledge including ECL calculation and reporting.
• Design/implement IFRS9 and AIRB compliant credit risk models (PD, LGD, EAD).
• Experience building analytical, behavioural & collections scorecards; macroeconomic default models.

Responsibilities

• Lead end-to-end risk data pipelines in ETL environments.
• Ensure data availability, accuracy, and traceability for PD, LGD, EAD models.
• Oversee monitoring and validation of credit risk models per Basel guidelines.
• Extract/transform data from databases using SQL and reporting tools.
• Communicate clearly with stakeholders; prioritize and plan work activities.

Skills

Analytical skills

IFRS9 knowledge

Data governance

Credit risk modelling

Communication skills

Tools

SQL

SAS

Python

R

Excel VBA

BO Reports

Job description

Job Description:

Job Description

We are currently looking for Model Risk & IFRS9 for our UAE operations

Role Purpose:

This role demands a highly technical, data-driven professional with strong expertise in ETL pipeline development, credit risk data management, and IFRS9 model support. The incumbent will lead the design, implementation, and governance of end-to-end risk data pipelines, ensuring alignment with regulatory and modelling requirements.

As part of the ERM - Risk Function, the Risk Data Management team plays a critical role in meeting CBUAE, IFRS9, and Basel II/III requirements. The role is responsible for ensuring availability, accuracy, and traceability of data used in PD, LGD, and EAD models, including default tagging, post-default events, recovery tracking, and exposure computation.

Minimum Experience: 5 years of experience in Risk & Financial services, Quantitative Modelling.

Key Responsibilities:

Analytical – Excellent Analytical skills and attention to detail.

Strong understanding of IFRS9 regulations with previous experience of managing end-to-end IFRS 9 impairment process including ECL calculation and reporting in a business as usual environment.

Designing, development and implementation of IFRS9 and AIRB compliant credit risk models – PD, LGD and EAD.

Experience in developing Application, Behavioural & Collections Scorecards and macroeconomic default models using Linear & Logistic Regression techniques, CHAID segmentation & Custer analysis.

Monitoring and Validation of credit risk models in line with the Basel and other regulatory guidelines;

Extraction and transformation of data from databases using SQL & BO Reports for analysis and reporting;

Ability to understand and communicate clearly and effectively at all levels; Planning/Organizing and Control- Prioritizes and plans work activities, uses time efficiently.

Programming skills in: SAS, Python, R, Excel with VBA, SQL

Terms and conditions

Joining time frame: 2 weeks (maximum 1 month)

Requirements: