AVP - Credit Risk MIS and Modelling | Dubai, UAE

Manage the credit risk modeling & stress testing activities which are in line with the department / Bank's standards.

Develop robust statistical models to analyze, predict, and quantify the impact of credit risk affecting the bank.

Key Responsibilities

1. Develop rating, IFRS9, and stress testing credit risk models for the wholesale portfolio ensuring that all underlying models are fit for purpose, duly evidenced through relevant statistical tests, business, and economic sense.
2. Develop a sound and efficient model development framework and guidelines, in line with the department / Bank's standards.
3. Develop new modeling methodologies, documentation templates, model user manual, and model remediation techniques, in line with the Bank / department's standards.
4. Comply with the regulatory Model Risk Management Standards, assess model risk, and make recommendations on model use.
5. Review validation and audit findings to plan and execute remediations within agreed timelines.
6. Ensure implementation of the model development process, and lead internal communication to guide model redevelopment, optimization, recalibration, and monitoring activities.
7. Provide support in designing and UAT of risk DataMart for future modeling activities.
8. Provide support, feedback, mentoring, and work oversight to the team. Keep abreast of industry and regulatory developments and evolving expectations.
9. Coach, train and develop team member skills by identifying training needs and assigning appropriate learning platforms to the team.

Education

Minimum bachelor's degree or master's degree in a quantitative field e.g. engineering, statistics, econometrics is required. FRM/CFA will be a plus.

Work Experience

Minimum of 7-8 years of relevant work experience in risk model development/model validation in the Banking industry. Expertise in model development and automation using SAS/R/Python environments.