Head of Financial Models
Commercial Bank of Dubai
- Dubai
- Permanent
- Full-time
- Development/monitoring of Wholesale/Retail credit risk models to support the assessment of ongoing credit risk profile inputs for the calculation of regulatory capital, IFRS9 / ECL Expected Credit Loss and Loss Allowance.
- As required, support and provide input into Wholesale/Retail Credit Risk with the development of acceptance scorecards, behavioral scorecards, and initiatives to develop the internal credit rating systems.
- Make key recommendations on model enhancements, including the development of statistical and analytical approaches that can improve quality and accuracy i.e. credit risk ratings, loss estimates, risk-weighted assets, stress testing, regulatory capital, ICAAP requirements, and to calibrate Through-The-Cycle and Point-In-Time default models.
- Interpretation of internal governance, policies, and Central Bank regulations pertaining to Model Risk.
- Development/monitoring of Treasury Models like IRRBB, VaR, XVA, PFE, etc.
- Upkeep of model documentation, including standard operating procedures, manuals and policies.
- Continuously review the Bank’s strategy for Risk/Treasury Models and provide the right inputs to the Senior Management to highlight both the key risks as well as opportunities within the Retail Portfolio.
- Provide support to the Wholesale/Retail Credit Risk team and Treasury with information to enable decision making i.e. Wholesale risk strategies and portfolio actions.
- Regular communication with Internal stakeholders: Product, Audit, Technology, Finance, Operations. And External stakeholders: Auditors, CBUAE, Consultants, and Vendors.
- Interactions with the Senior Management often during meetings or for Risk Model related models matters.
- Providing management information to enable Board reports, risk reports, and regulatory reports.
- 10+ years’ experience of working in credit / risk/Treasury modelling for a leading Bank.
- Experience in Credit/Treasury risk/rating model development/ validation procedures and concepts and ability to manage own assignments independently.
- A degree in a numerate subject (e.g. mathematics, statistics, operational research, economics or MBA) from a reputed institute with knowledge of advanced statistical and analytical techniques.
- Strong Data Analytical skills.
- Extensive experience manipulating and analyzing large amounts of complex data, building and implementing predictive models
- Strong verbal and written skills that ensure you can explain technical concepts to less technically focused colleagues and produce suitable documentation.
- Database management including Risk models and Reporting tools
- Strong knowledge on R packages, MS Access, Excel and Power BI.
- Strong knowledge of credit modelling using statistic tool such as SAS, SQL analytical tools, SPSS.