Manager - Risk Models
Date posted 18.10.2016
Ref number 358615
|Location||UAE - Dubai|
|Number of Vacancies||1|
|Career Level||Mid Level|
|Minimum Experience||Not Specified|
|Minimum Education Level||Not Specified|
NBF Model Governance
Developand operationalise an enterprise-wide governance Model Framework (MF) that is aligned to the Banks Enterprise-wide Risk Management Framework (ERM) and Risk Appetite Statement (RAS).
The MF should include statements including:
Defining a Model
Listing Material Models within NBF
A methodology to how to develop, test, implement models
Statements to model maintenance
Statement to periodic validation
Oversee model risk management for the bank including model validation and the provision of model advisory support
Ensure the continuous improvement of Risk Models that are used by the bank through the development, testing, implementation and validation phases, whilst ensuring that all “material” models have appropriate documentation to the key assumptions, inputs and design mechanisms.
Risk models include but are not limited to:
Credit Risk Rating (RR)
Basel Capital Models
Treasury Related models that derive RAS performance measures such as LCR, NSFR, IRR/VAR, Funding or other
Operational Risk models or similar
Analyse the results of various models and assess the ongoing relevance.
RR model review/validation, periodic re-calibration exercise & stress testing based on macroeconomic indicators
Drive operational efficiency by enabling redundancy of models on legacy operating systems (Excel/MS Access etc.)
Continuously enhance Basel regulations across the bank for retail and wholesale businesses and ensure compliance with all regulatory requirements and standards.
Assist in the implementation of a Risk based pricing & Risk Adjusted Return on Risk Adjusted Capital (RARORAC) model and achieve effective implementation across the Bank with Business units, Finance and Credit. Enhance framework for FIRB readiness.
Be the Bank’s lead implementation manager and knowledge facilitator on IFRS9 implementation – including acting as a conduit between Risk, Finance, IT, first line business and other key stakeholders on the provisioning landscape, related policy changes and model performance outcomes.
Manage the implementation and maintenance of IFRS model code and documentation to support the Credit Risk’s approach to provisioning:
Lifetime PD, LGD and EAD for Retail/Commercial/Corporate/other portfolios and assessing the optimisation of the modelling by business segment
Oversee the approach to maintain country/portfolio specific data to perform periodic model parameter calibration and score alignment
Maintain and document changes in model approaches, assumptions, model input calibration
Maintain up to date inventory of technical and model related documentation to support model validation and audit and self-assessment processes related to data and modelling of IFRS expected credit loss (ECL) impairment estimates
Support department staff in the preparation of the “Internal Capital Adequacy Assessment Process (ICAAP)” report and submit to Central Bank of UAE on an annual basis after getting the same approved by the Board of Directors through Risk Committee & Board Risk Committee.
Compute and analyse the Pillar II Capital Adequacy Ratio on monthly basis.
Prepare internal reports and MIS for Risk and disseminate the results of risk identification, assessment and measurement to Business, Finance, Treasury and other functions or committees in the organization.
Assist the Head of Market Risk and Models/CRO in the operational efficiency measures that improve automation of risk reporting to our stakeholder group
Cross train into other Market Risk & Model roles as required
|Salary and Allowance|
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