Senior Manager - Corporate Risk Analytics

Role:
Senior Manager - Corporate Risk Analytics

Location:

Abu Dhabi

• 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.

• 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 optimisation 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.

• 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.

• 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 institutionalise 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 parameters required for risk modelling, 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.

• 7 - 12 years in credit…