Senior Manager – Risk Analytics
- Dubai, United Arab Emirates
- Permanent, Full time
- McGregor Boyall
- 16 Jan 18 2018-01-16
A well-known bank in the UAE is seeking a senior manager within the Risk Analytics unit to be responsible for the development, monitoring and review of advanced statistical / hybrid models for corporate & retail portfolio and assist in the implementation of Risk systems within the bank. Working with external supplier and multiple internal stakeholders, the individual would provide support for both ongoing and one-off projects.
- Corporate & Retail PD models development, validation and implementation. This includes rating models specific to the portfolio segment e.g. Large Corporate, Middle Market, Contracting, Small Business, Commercial Real Estate, Retail Scorecards etc.
- Periodic reporting to the Management on the performance of the model by creating standardized templates.
- Review/refine models based on actual experience and provide recommendations on the scorecards to improve the accuracy and predictive power of the model.
- Provide analytical support on the corporate portfolio.
- Implementation of model risk governance framework in the bank.
Basel IRB Accreditation / IFRS 9 Models Validation
- Ensure that all IFRS9 and IRB models are validated every year.
- Ensure complete documentation and approval for all the models in use.
- Initiate Computation of Basel FIRB Capital requirement after incorporating the PD’s and LGD’s derived out of internal rating models & Scorecards.
- Documentation: Develop & maintain documentation required for Basel IRB accreditation.
PD Models – Retail Banking (All Products)
- Generating behavioral scores for the retail portfolio (Product wise) on a monthly basis.
- Monitoring Application scorecards on monthly basis and comparison of Scorecard based rejects and policy rejects.
- Assisting the technology team to implement the revised cut-off scores into the system and validating the same by User Acceptance Testing.
LGD & EAD Models – Retail Banking (All Products)
- Computation of LGD & EAD scores for the Retail Portfolio.
- Calculation of Expected loss for each retail obligor.
- Develop / amend / validate scorecards for new segments.
- Fine tuning retail scorecards based on policy level changes and changes in population stability.
- 7 years of relevant experience in the analytics and predictive modeling domain. CFA/FRM/PRM preferred.
- Proficiency in Statistics and Mathematics.
- Detailed knowledge of IT systems/ applications.
- Proven expertise in analytical tools such as SAS and SPSS is must.
- Good understanding of Financial Statements.
- Proven expertise in Microsoft Excel, VBA macros and PowerPoint is must.
- Expertise in modeling techniques including but not limited to Regression, Decision trees etc.
- Experienced in development and validation of Retail scorecards (PD and LGD).
- Good Knowledge & understanding of Basel Accord and Risk Management.