Head of Model Validation and Risk Intergration

  • Excellent tax free Package
  • Dubai, United Arab Emirates
  • Permanent, Full time
  • McGregor Boyall
  • 26 Sep 16

I am currently working with a leading bank in the UAE and looking for someone to Head up the Model validation and Risk Integration team, reporting into the Head of the Enterprise Risk Management Group. This is a very senior role and of strategic importance within the Group Risk Management which will be responsible for independently validating risk models. the role will also be responsible for leading projects on risk data integration.


OVERVIEW
This is a very senior role and of strategic importance within Group Risk Management which will be responsible for independently validating risk models.  The role will also be responsible for leading projects on risk data integration.
The role requires independent thinking, strong communication, initiative, interaction with all stakeholders within the bank. The role is intended to provide advanced quantitative analytics support to the Bank. The candidate will have specialized exposure and capacity to deliver end-to-end projects. Main responsibilities include:

Independent Model Validation
a) Responsible for risk model life cycles including robust governance for the validation, and involvement in the maintenance and re-calibration of models.
b) Ensure that risk models are fit for purpose and meet the demands of internal risk management and regulatory requirements.
c) Ensure that models adequately capture the risk of the portfolio in terms of products, borrower features and economic environment.
d) Ensure that documentation captures model theory, sensitivity and limits i.e. breaking point and stability. Estimate the uncertainty around model output.
e) Ensure that models provided by external parties (vendors, consultants) are robust and fully understood by the risk department – through comprehensive handovers.
f) Support the liaison with the regulator regarding models used as part of regulatory requirements such as IFRS9 and Basel regulations.

Data and System Integration
a) Ensure that systems acquired from third party vendors are fully integrated in the bank's architecture. 
b) Lead the alignment of data between the risk and finance function. Ensure a common source of data and homogeneous treatment across both functions.
c) Lead the development of new systems to capture data for future model development.  This includes but is not limited to client default and recovery data.
d) Work closely with the Risk IT team to ensure that the system architecture meets the current and future demand of the business.
e) Support technology initiatives in the transition of the risk function towards the advanced approaches of Basel.

Economic Capital
a) Responsible for the development, maintenance and adequate use of an economic capital model.
b) Develop governance to support the development and usage of this model, with suitable stakeholders and terms of reference.

MUST HAVE
• 10 - 15 years in risk model building and validation and Basel implementation in the banking sector.
• Master’s degree in quantitative/finance, professional engineering or any other related field.

Additional requirements:
• Excellent Credit Risk modelling, analytical, and research skills.
• Experience working with large and complex data sets.
• In-depth knowledge of financial markets and products.
• Possess superior knowledge of credit risk management best practices including but not limited to Basel II & Basel III Framework on credit risk management and capital adequacy requirements.
• Possess strong quantitative skills and solid experience in undertaking, validating and monitoring risk data integration projects.
• Knowledge of the credit scoring systems available in the market and their use.
• Understanding of regulatory and reporting requirements as IFRS 9.
• Advanced user of statistical software (such as SAS and R Statistics)
• 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
• Ability to inspire and motivate others to gain commitment