Job Details
Job Purpose :
Manage the risk modeling & stress testing activities which includes model development and governance to develop scientific models, in order to analyze and predict and quantify the impact of risk affecting the bank. Such model development and computation work shall also encompass the IFRS-9 domain.
Responsible to assist in conducting robust and comprehensive validation of Bank’s internal and external models, in order to assess the risk impact.
Review validation reports and share/present findings with the team (owners) along with recommendations. Develop and maintain a model inventory and ensure the inventory is complete, accurate, and consistent with the Bank’s policy and regulation.
Complete ECL computation under IFRS 9, not limited to TTC PD, PIT PD, macro models, LGD, EAD, collateral haircuts in particular for wholesale portfolios. In particular, ensure that all underlying models are fit for purpose and meet model risk standards duly evidenced through relevant statistical tests and back tests.
Education :
Qualified Actuary (SOA) or Master’s degree in a quantitative field e.g. engineering, statistics, econometrics is required. FRM/CFA will be a plus.
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To apply for this job email your details to vinodh@searchpoint.ae