Model Risk & IFRS9

VAM Systems Inc.; Abu Dhabi; On-site; AED 260,000 - 460,000; Full time

Job summary

VAM Systems Inc. in the UAE is seeking a highly technical Risk Data Management professional for Model Risk & IFRS9.

This role leads end-to-end risk data pipelines, ensuring data for PD, LGD and EAD models is accurate and traceable in line with regulatory requirements. The ideal candidate has 5+ years in risk and financial services, with expertise in SQL, SAS, Python, R, and Excel with VBA, and experience with ETL processes and model validation under Basel guidelines.

Qualifications

• 5+ years of experience in Risk & Financial services, Quantitative Modelling.
• Experience with IFRS9 impairment process, including ECL calculation and reporting.
• Experience in developing credit risk models and scorecards and macroeconomic default models.

Responsibilities

• Analytical – Excellent analytical skills and attention to detail.
• Strong understanding of IFRS9 regulations with end-to-end impairment process including ECL calculation and reporting.
• 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, CHAID segmentation and cluster analysis.
• Monitoring and validation of credit risk models in line with Basel guidelines.
• Extraction and transformation of data from databases using SQL & BO Reports for analysis and reporting.
• Ability to communicate clearly at all levels; planning and organizing work activities.
• Programming skills in SAS, Python, R, Excel with VBA, SQL

Skills

IFRS9 regulations

Risk data pipelines

PD/LGD/EAD models

SQL

SAS

Python

R

Excel VBA

Regulatory reporting

Tools

BO Reports

ETL tools

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)