VP- Model Risk Quant

Company Description

FAB, the UAE's largest bank and one of the world's most secure financial institutions, is dedicated to creating value for its employees, customers, shareholders, and communities. Through innovation, agility, and differentiation, FAB is committed to fostering growth. We are looking for top talent and your success is our success. Accelerate your growth as you help us reach our goals and advance your career. Be ready to make your mark at a top company in an exciting and dynamic industry.

Job Description

JOB PURPOSE:

The purpose of the job is to identify the model risk embedded in the pricing models and to mitigate it. The candidate will perform model validation and review the pricing models used by Global Markets for pricing derivatives. Focus will be particularly on valuation/pricing models and any other relevant models. The candidate will develop the model risk framework and ensure that all products are validated before deployment in production.

KEY ACCOUNTABILITIES:

1. Manage the validation process of Front Office system models for pricing/valuation and risk analytics purposes.
2. Review the impact analysis on PnL calculation due to changes in methodologies and market data feed.
3. Manage the Policies relating to Market Data Governance, Model validation, and Model risk framework.
4. Perform independent model validation by assessing model assumptions, model implementation, and propose mitigants like model reserves.
5. Recommend appropriate model reserves that would mitigate model limitations/assumptions.
6. Liaise with relevant units to ensure controls and model reserves are implemented properly at all times, including implementing a process that ensures validated settings are properly implemented (e.g., models & curves).
7. Perform full model validation not limited to P&L, but include impacts on Value-at-Risk, Pre-Settlement Risk, counterparty valuation adjustment, and regulatory reports such as Capital and Stress testing.
8. Assess the impacts of new models on the risk management framework.
9. Document the performed analysis, testing, and findings, and circulate the corresponding reports to model Users and relevant stakeholders.
10. Monitor and lead the valuation methodologies, and specify the internal valuation methodologies.
11. Approve the market data used for valuation.
12. Engage with auditors, regulators, and external stakeholders for assurance on independent model validation.
13. Take final outputs to the committees for ratification.

Qualifications

1. A higher academic qualification in a quantitative area (Master, Ph.D.).
2. Strong knowledge in pricing models, pricing theory, and curve construction.
3. Good knowledge of all asset classes (FI, FX, commodities, equities, derivatives) and their pricing models.
4. Strong knowledge in Mathematics, Statistics, Stochastic calculation, and Numerical analysis.
5. Work experience of 12+ years in model validation or in a quantitative area in Financial Markets/Market Risk with reputable Banks.
6. Ability to work accurately under pressure to tight deadlines.
7. Strong understanding of Market Risk/Trading systems including Bloomberg, Reuters, Murex, or similar.
8. Strong communication, presentation, and writing skills.
9. Knowledge of Arabic is desirable, but not essential.
10. Experience dealing with Front Office.
11. Project experience working with IT on the delivery of Risk Systems.
12. Knowledge of Murex, Numerix, and/or coding skills in C++/Matlab would be a distinct advantage.