Senior Manager Market Risk Models

ADIB Group; Abu Dhabi; On-site; AED 120,000 - 200,000; Full time

Job summary

A leading financial institution in Abu Dhabi seeks a Senior Manager for Market Risk Models. The role involves developing advanced risk models, ensuring compliance with regulatory standards, and driving cross-functional collaboration. Candidates should have a Master's or PhD in a quantitative field and at least 10 years of relevant experience in market risk. Strong programming skills and a deep understanding of risk metrics are crucial. The position offers an opportunity to shape the institution's market risk framework and enhance its analytical capabilities.

Qualifications

• 10+ years of experience in market risk modelling or a similar role in a financial institution or consultancy.
• Strong knowledge of market risk concepts and regulations, including VAR, stress testing, and Basel III.
• Proficiency in programming languages and data analysis tools.

Responsibilities

• Lead development of advanced risk models and ensure regulatory compliance.
• Conduct complex data analysis and provide technical support for models.
• Drive collaboration with cross-functional teams to integrate models.

Skills

Market risk modelling

Quantitative finance

Data analysis

Programming in Python

Regulatory compliance

Analytical skills

Problem-solving

Communication skills

Education

Masters or PhD in quantitative finance, mathematics, statistics, physics, engineering or related field

Tools

Python

R

MATLAB

SQL

Excel

Job description

Role: Senior Manager - Market Risk Models

Location: Abu Dhabi

Role Purpose:

• The Market Risk function within the Risk Management Department mandate is to; monitor report and model Market risk and all related quantitative models including PRRBB PFE VaR XVA and pricing models build Stress Test Scenarios Liquidity Risk as well as support and due diligence Treasury Capital Markets Assets and Liability management activities.
• As a Senior Manager the job holder is expected to add value by leading the development enhancement and maintenance of advanced Risk Models and recommending improvements to the risk management framework through bringing a combination of strong quant capabilities proficiency in IT and data analytics robust market risk management and modelling techniques practices and discipline.
• The role also requires ensuring compliance with international regulatory standards such as Basel as well as local regulatory frameworks including MMS and MMG while promoting best practices and discipline across the risk function.
• A key objective is to build and internalize specialized knowledge and capabilities often sourced externally through consultants within the team ensuring sustainable expertise and reducing dependency on third parties.
• The function is also expected to implement effective controls on day-to-day risk activities and bring innovation and efficiency through advanced quantitative skills data analytics and IT-driven solutions.

Key accountabilities of the role:

• Leveraging a robust quantitative background deep regulatory insight and advanced knowledge of risk metrics to deliver high-value analytical contributions that support strategic decision-making.
• This involves proactively identifying optimal modelling approaches and guiding the bank toward future-proof choices in market risk management aligning with evolving regulatory standards and industrys best practices.
• Leading the development validation and implementation of advanced models for value-at-risk (VAR) PFE XVA stress testing and asset-liability management (ALM) using advanced statistical mathematical techniques and scalable IT solutions.
• Overseeing complex data analysis back testing and scenario design to assess the performance and accuracy of the models ensuring strategic relevance and robustness under diverse market conditions.
• Providing technical support and documentation for the models and ensuring compliance with regulatory requirements and internal policies.
• Driving cross-functional collaboration with trading finance and IT teams to integrate the models into the risk management framework and systems with a focus on automation scalability and alignment with business objectives.
• Contributing to model governance regulatory interactions and strategic initiatives related to capital optimization collateral management and enterprise risk analytics.
• Enhancing market liquidity and counterparty credit risk frameworks including liquidity-adjusted VAR potential future exposure (PFE) and exposure analytics across asset classes.
• Conducting research on new methodologies and best practices for market risk modelling and staying updated on the latest developments in quantitative finance regulatory expectations and emerging technologies.

Qualification skills / technical knowledge required for this role:

• Masters or PhD degree in quantitative finance mathematics statistics physics engineering or a related field.
• At least 10 years of experience in market risk modelling or a similar role in a financial institution or consultancy firm.
• Strong knowledge of market risk concepts measures and regulations such as VAR stress testing ALM Basel III etc.
• Proficient in programming languages such as Python R MATLAB C etc. and familiar with databases and data analysis tools such as SQL Excel etc.
• Excellent analytical problem-solving and communication skills and attention to detail.
• Ability to work independently and as part of a team in a fast-paced environment.

Required Experience:

Senior Manager