Senior Model Risk & IFRS9 Analytics Lead (UAE)

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

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.