Senior Manager - Corporate Risk Analytics

Role: Senior Manager - Corporate Risk Analytics

Location: Abu Dhabi

Role purpose:

• This role is of high importance within Group Risk Management which will have a direct impact on the compliance of the bank with regulatory mandate on model management.

• The impact of this role on the non-retail banking business would be direct and significant as the incumbent is required to develop and maintain credit risk and profitability models.

• The incumbent is expected to independently perform advance analytics on the portfolio and continuously advise the Head of the team on emerging trends.

• The role requires independent thinking, strong communication, initiative, team management, project management interaction with stakeholders within the team.

• The candidate will have specialized exposure and capacity to execute and deliver end-to-end risk analytics project and framework independently.

Main responsibilities include:

• Quantitative analysis & modelling: Take a lead role in developing non-retail credit rating models, macro-overlay models and LGD models and participate in development of retail banking rating models as and when required by the Head of the team.

• In line with the requirements, participate in the deployment and integration of non-retail credit models in bank’s systems and processes.

• Develop methodologies to ensure effective monitoring of the models.

• Conduct regular PiT and TTC calibration and optimization of the deployed models as regulatory guidance.

• Perform monthly ECL / Provisioning calculation and report as per agreed timelines. Also develop IFRS based provision forecasting model for budgeting purposes.

• Provide required input for ICAAP and Macro Stress Testing for the Non-Retail Portfolios.

• Support the team head in ensuring compliance requirements are fulfilled and assist him in other initiatives.

Key accountabilities of the role:

Customer (Internal & External):

• Liaise with the validation team on a regular basis to build and maintain compliant models. Perform model remediation as per recommendation from validation team.

• Fulfill requests from the external and internal auditors and the Compliance functions are fulfilled as and when required.

• Coordinate with team head and validation team for model methodology review and approvals.

• Provide analytical support to the business.

• Co-ordinate with external vendors whenever required in relation to activities within scope.

• Assist in Cost-of-Credit budgeting exercise for non-retail products

Internal (Processes, Products, Regulatory):

• Review existing model development and ECL calculations considering changing market conditions based on regulatory recommendations/ other best practices to ensure that a sound environment for identifying, assessing, measuring, monitoring and controlling risks are in place.

• Ensure correct functionality of the deployed models on the rating platform and institutionalize effective usage by conducting regular verification of inputs & outputs.

• Develop credit models as per requirements from the business, keeping in view the dynamics of credit portfolios and the best risk management practices.

• Lead the development of risk models of Basel / IFRS9 components i.e., PD, LGD, EAD etc., among various asset classes and facility types, ensuring these risk measures comply with regulatory requirements through robust modelling process.

• Address/ facilitate correction of any weaknesses identified during assessments, audits, or examinations by internal/ external audit staff, Group Compliance personnel, regulators examiners or Sharia’ auditors as applicable.

• Conduct monitoring of the deployed models on a regular basis and produce reports with recommendations for improvements to stakeholders.

• Create, maintain and update model / scorecard related documentation.

• Maintain historical datamart for non-retail products, with all the relevant parameter required for risk modeling, to bring efficiency and consistency in data preparation step of model development.

• Learning & Knowledge:

• Develop and lead training programs for team members, stakeholders on different conceptual aspects of quantitative analytics.

Qualification, skills / technical knowledge required for this role:

• 7 - 12 years in credit risk modeling, Basel II and IFRS 9 implementation in the banking sector

• Master’s degree in quantitative/finance, professional engineering or any other related field

• Professional Qualification such as FRM, PRM or CFA is highly desired

• Excellent Credit Risk modelling, analytical, and research skills.

• Experience working with large and complex data sets, including alternative data (bureau, open banking etc.) for credit models.

• In-depth knowledge of financial markets and products and abreast with latest analytical techniques including Machine Learning algorithms such as Support Vector Machines, Random Forest and Gradient Boosting etc.

• Possess superior knowledge of credit risk management best practices including but not limited to pertinent Basel II, Basel III and IFRS 9 Framework on expected credit risk loss, credit risk management and capital adequacy requirements.

• Possess strong quantitative skills and solid experience in developing, validating and monitoring risk models. Knowledge of the credit scoring systems available in the market and their use.

• Advanced user of statistical software (such as SAS and R or Python)

• Should have strong knowledge of handling Risk Technologies & its implementation.

• Ability to work independently on multiple tasks and/or projects.

• Excellent oral and written communication skills in English.

• Proficiency in risk concepts, banking products/ operations/ systems, pertinent regulatory requirements,

• Flexible team player and able to work and deliver under pressure.