Manager - Model Governance and Model Validation

Job description / Role

Role: Manager - Model Governance & Model Validation

Location: Abu Dhabi, UAE

Summary:

This role supports a strategic function within Group Risk Management. It is a key contributor to the independent validation of models and more generally supports the bank with advanced quantitative analytics capability and standards. The role also contributes to review of bank-wide exercises such as ICAAP and Stress Testing. It requires robust quantitative skills, independent thinking, and articulate communication skills to interact with a diverse range of stakeholders within Group Risk.

Key accountabilities / responsibilities:

Model Governance:

• Support model risk management within the group and perform various model risk activities, such as model identification, model classification/tiering assessment, model inventory management, model risk controls, and model finding management.
• Support in the implementation of the model risk management framework across the group and ensure compliance with regulatory requirements and the industry's best practices.
• Support in identifying, assessing, and mitigating model risk and escalate any significant findings or incidents to the model governance committee.
• Ensure that the bank meets the requirements of the CBUAE "Model Management Standards and Guidelines" as well as internal model validation and governance frameworks and policies.

Independent Model Validation:

• Lead the implementation of the model validation framework.
• Validate and review the various models of the bank with a focus on trading risk, market risk, credit risk, pricing, liquidity, time series modelling, macroeconomic overlay models and ensure that the model development is in line with the bank's policy, procedure, and regulatory requirements.
• Validate and review other non-risk models including compliance, fraud, and business models.
• Support the modelling team to ensure that models are fit for purpose and meet the demands of internal risk management and regulatory requirements.
• Lead the development of statistical tools in Excel/VBA/R/SAS/Python to analyze models' sensitivity and behavior. Also, review the model documentation to ensure that it captures model theory, sensitivity, and limits.
• Lead the production of timely validation reports to senior management, to external and internal auditors, and to the compliance function as and when required.
• Support the correction of any weaknesses identified during assessment or audit pertaining to models.
• Provide oversight and guidance in terms of industry best practice for model development and quantitative related projects.
• Contribute to ensuring that models provided by external parties (vendors, consultants) are robust and fully understood by the risk department through comprehensive handovers.
• Take part in the implementation testing.

Education and Experience:

• Minimum 8 years in a technical field within the financial or risk consultancy industry, especially with risk management.
• A strong academic background with a quantitative major.
• A professional certification or qualification in risk management, quantitative analysis, or a related field, such as FRM, PRM, CQF, or CFA, is desirable but not mandatory.

Technical skills:

• A strong background and expertise in various types of models, such as credit risk, liquidity risk, market risk, capital, pricing, and other risk models, and the associated methodologies, techniques, and tools.
• Robust technical quantitative skills in the field of financial modelling.
• Robust technical knowledge of credit scoring and market/trading systems and their use.
• Experience of large and complex data sets.
• Experience of statistical software such as SAS, Python, VBA, and R Statistics.
• Knowledge of financial markets and products.
• Robust knowledge of model risk management best practices and regulatory requirements including CBUAE model management standards and guidance document.
• Robust knowledge of risk management, best practices, and regulatory requirements including Basel II & Basel III and IFRS9 regulations.

Interpersonal skills:

• Self-starter, ability to work independently and undertake the necessary research.
• Good oral and written communication skills in English.
• Ability to deliver presentations.
• Flexible team player and able to work and deliver under short deadlines.