Senior Officer - Model Risk

Commercial Bank International; Sharjah; On-site; AED 60,000 - 120,000; Full time

Job summary

A leading bank in the UAE is seeking a Risk Analyst with expertise in credit risk modeling and IFRS9 regulations. The candidate will be responsible for developing and managing risk models, ensuring compliance, and contributing to monthly reporting processes. Ideal applicants will possess strong analytical skills, a Master's degree in Economics or Statistics, and a minimum of 5 years' experience in risk management. This is an excellent opportunity to join a prominent financial institution and make a significant impact.

Qualifications

• 5 years experience in Risk & Financial services, Quantitative Modelling.
• Strong understanding of IFRS9 regulations and impairment process.
• Experience developing credit risk models and scorecards.

Responsibilities

• Develop credit risk models for PD, LGD and EAD in line with IFRS9.
• Support monthly IFRS9 ECL computations and model performance monitoring.
• Collaborate with teams to enhance systems and reporting for IFRS9.

Skills

Analytical Skills

Attention to Detail

Communication

Planning/Organizing

Programming Skills

Education

Masters in Economics or Statistics

Tools

SAS

Python

R

SQL

Excel with VBA

Job description

Main Responsibilities and Accountabilities:

• Responsible for developing credit risk models such as PD, LGD and EAD models for computing ECL in line with IFRS9 regulations.
• Supporting Senior Manager Model Risk for the implementation of Model Risk Management Standards
• Maintain the Model Risk Inventory, Model Documentation etc.
• Developing macroeconomic default models to derive forward looking PD and LGD point in time term structures.
• Support the manager in computation of IFRS9 ECL on monthly basis
• Regular monitoring of all the credit risk models to assess their performance and enhance the models to address the shortcomings identified.
• Create and/or update the documents on model development, and governance policies.
• Collaborate with other risk functions, finance, business teams and IT to improve systems or processes related to IFRS9 data.
• Meetings with external consultants and auditors on the model related discussions.
• Perform Stress testing (both internal and external) and ensure compliance to stress testing requirements.
• Perform ad-hoc data analysis as required by the senior management and regulators.
• Provide necessary IFRS 9 reports to external audit and external agencies.
• Prepare materials for providing training to business, credit, and risk teams.

Education and Qualifications:

• Masters in Economics or Statistics

Experience:

• 5 years of experience in Risk & Financial services, Quantitative Modelling.

Other Skills Required for the Job:

• 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