Model Validation Manager

Job Description

Role : Model Validation ManagerLocation : Abu DhabiRole Purpose:This role supports a strategic function within Group Risk Management. It is a key contributor to the independent validation of risk models and more generally supports the bank with advance quantitative analytics capability and standards. The role also contributes to bank-wide exercises such as ICAAP and Stress Testing. It requires robust quantitative skills, independent thinking and articulate communication skill to interact with a diverse range of stakeholders within Group Risk.Key Accountabilities of the role

1. Independent Model Validation:

• Lead the implementation of the model validation framework in line with IFRS9 and Basel Requirement, among various asset classes and facility types.
• Validate and review the rating risk models, scorecards, macroeconomic overlay models and all the models recalibration (Retail and corporate) by ensuring that the model development and review are in line with the banks? policy and procedure.
• Support the modelling team to ensure that risk models are fit for purpose and meet the demands of internal risk management and regulatory requirements.
• Lead the development of statistical tools in Excel/VBA/R/SAS to analyze risk models sensitivity and behaviour. Also review the model documentation to ensure that it captures model theory, sensitivity and limits.
• Lead to the production of timely validation reports to Senior Management, to external and internal auditors and to the Compliance function as and when required.
• Support the correction of any weaknesses identified during assessment or audit pertaining to models.
• Provide oversight and guidance in terms of industry best practice for model development and quantitative related projects.
• Contribute to ensuring that models provided by external parties (vendors, consultants) are robust and fully understood by the risk department ? through comprehensive handovers. Take part of the implementation testing.

1. Model Governance:

• Ensure that the Bank meets the requirement of the CBUAE ?Model Management Standards and Guidelines?.

1. Macro-economic scenarios:

• Generate and analyze Moody?s macroeconomic scenarios needed for the expected credit loss (ECL) calculation.

1. ICAAP:

• Contribute to delivery of ICAAP exercise.
• Contribute to reviewing the construction of scenarios and associated statistical models.

5. Stress Testing:

• Contribute to delivery of stress testing exercises.
• Prepare the macro-economic enrichment process, associated macroeconomic scenarios needed for the stress testing exercise and associate documentation.
• Follow-up with the CBUAE to get the approval/validation of the macro-economic enrichment process.
• Coordination the interactions and exchange with the CBUAE regarding the stress testing exercise.

6. Model best practices:

• Oversight and guidance in terms of industry best practice for model development and quantitative related projects.

7.External vendor:

• Contribute to select models provided external vendors.

Specialist Skills / Technical Knowledge Required for this role:

• 6-10 years in a technical field within the financial industry, specially with risk management.
• Master?s degree in finance and statistic engineering.

Technical skills

• Robust technical quantitative skills in the field of financial modelling.
• Robust technical knowledge of credit scoring systems and their use.
• Experience of large and complex data sets.
• Experience of statistical software (such as SAS, VBA and R Statistics)
• Knowledge of financial markets and products.
• Robust knowledge of risk management best practices and regulatory requirements - including Basel II & Basel III and IFRS9 regulations.
• Proficiency in financial risk concepts, banking products / operations/ systems.

Interpersonal Skills

• Self-starter, ability to work independently and undertake the necessary research.
• Good oral and written communication skills in English
• Ability to deliver presentations
• Flexible team player and able to work and deliver under short deadlines

Keyskills :