AVP Credit Risk Analytics - Wholesale/Corporate Model Porfolio

  • $120,000 Tax Free + Benefits + Bonus
  • Dubai, United Arab Emirates
  • Permanent, Full time
  • NSi ME
  • 26 Sep 16

The prime responsibility of AVP Credit Risk Analytics is to manage and support the development, validation, implementation and maintenance of credit risk models. Manage internal implementation of credit bureau specific processes, practices, trainings and any related IT developments and contribute towards there conceptualization, design, execution and internalization. Perform reviews of any new initiative that is undertook by any team across the bank for which an internal risk assessment is deemed necessary from a credit risk perspective. IFRS 9 methodology and Implementation is also to be looked in totality and is one of the major responsibilities of AVP Credit Risk Analytics.

  • Work with cross-functional teams spanning across the Group to plan and oversee quantitative and quantitative credit risk models for corporate banking portfolios.
  • Deliver documentation of all models as per Basel II standards and communication of model results.
  • Effective implementation of IFRS 9 methodology to estimate provisions for the entire wholesale portfolio.
  • Manage development and execution of efficient model implementation strategies in corporate.
  • Introduce team members to modern model development techniques and ensure model development oversight for all corporate models of the Group.
  • Ensure that approaches used to build internal models and scorecards are statistically sound and compliant with the regulatory criteria (i.e., Basel II) and practical for implementation.
  • Build and maintain the IT infrastructure (tools / SAS and databases) required to meet the needs of model development, validation and implementation.
  • Manage Corporate Credit Risk team, introduce them to modern model development techniques and ensure model development oversight for all corporate models across the Group.
  • Coordinate with IT to ensure maintenance and upgrade of internal rating systems.

Key Results:

  • Oversee the internal credit risk models for corporate portfolios.
  • Drive usage of credit risk models for various portfolio management strategies across the Bank.
  • Use advanced modeling techniques to develop and refine internal models and scorecards.
  • Ensure data quality, and timely implementation of scorecards and models.
  • Team/Project Management.
  • Maintain, monitor and validate internal rating models and systems.
  • Credit Bureau Implementation.
  • Model Performance and Strategy Performance - validate the performance of internal models and strategies and if necessary calibrate these on regular frequency to maintain/improve predictive power and/or any other desired objective.
  • Internal credit risk models - resolve issues pertaining to models, monitor & update them.
  • IFRS 9 - devise and oversee the IFRS 9 implementation. Ensure that complete Wholesale portfolio is provisioned based on IFRS 9 standard.

Essential:

  • Knowledge areas: Internal Rating Model Development and Validation, IFRS 9 implementation.
  • Technical / Functional Skill Areas: SAS, SQL, Statistics.
  • Educational Qualifications: Masters Degree in Math, Statistics, Physics, Engineering

Desirable:

  • Managerial / Leadership Skill Areas: excellent verbal and written communication abilities, ability to articulate ideas and develop recommendations, presentation skills.
  • Work experience: Min 5 years