Model Risk & IFRS9

VAM Systems Inc; Dubai; On-site; AED 300,000 - 540,000; Full time

Job summary

VAM Systems Inc. is seeking an experienced risk modelling professional to design and implement IFRS9/AIRB compliant credit risk models (PD, LGD, EAD) and manage the end-to-end IFRS 9 impairment process.

You will build risk data pipelines, run ETL processes and validate models in line with Basel and regulatory guidelines, using SQL, SAS, Python, and R. Collaboration with finance and risk teams is essential.

Qualifications

• 5 years of experience in risk and financial services or quantitative modelling.
• Strong understanding of IFRS9 regulations.
• Experience with scorecards and macroeconomic default models.
• Regression techniques, CHAID segmentation and cluster analysis.
• Programming in SAS, Python, R, Excel with VBA and SQL.

Responsibilities

• Design, develop and implement IFRS9 and AIRB compliant credit risk models (PD, LGD, EAD).
• Manage end-to-end IFRS 9 impairment process including ECL calculation and reporting.
• Build risk data pipelines and ETL processes for PD, LGD and EAD models.
• Monitor and validate credit risk models in line with Basel and regulatory guidelines.
• Extract and transform data using SQL and BO reports for analysis.

Skills

Risk modelling

IFRS9 knowledge

Scorecards

Macroeconomic default models

Regression techniques

SAS

Python

R

SQL

Excel VBA

Tools

SAS

Python

R

SQL

Excel VBA

Job description

Responsibilities

• Design, develop and implement IFRS9 and AIRB compliant credit risk models (PD, LGD, EAD)
• Manage end-to-end IFRS 9 impairment process including ECL calculation and reporting
• Build risk data pipelines and ETL processes for PD, LGD and EAD models
• Monitor and validate credit risk models in line with Basel and regulatory guidelines
• Extract and transform data using SQL and BO reports for analysis

Requirements

• 5 years of experience in risk and financial services or quantitative modelling
• Strong understanding of IFRS9 regulations
• Experience with scorecards and macroeconomic default models
• Regression techniques, CHAID segmentation and cluster analysis
• Programming in SAS, Python, R, Excel with VBA and SQL

About the Company

• Joining time frame of 2 weeks (maximum 1 month)