Job description / Role
Operating in the UAE for over 50 years, CBD manages the financial requirements of some of the largest corporates and businesses operating in the country, driving the UAE economy. Over the years, CBD has transformed into a progressive and modern banking institution winning multiple awards for its digital initiatives, credit cards, bank accounts, mobile app features and services.
CBD has been recognized as the number one bank in the UAE on the Forbes list of The World's Best Banks 2022.
As we continue to build upon our successes, we are looking for ambitious individuals who are passionate about the banking and finance industry and the markets in which CBD operates. Just as important to us is your ability to demonstrate a talent for dealing with people - your colleagues and our customers - and delivering service that really goes the extra mile.
• Design and implement new approaches and enhance existing methodologies to advance market risk and Counterparty credit risk measurement.
• Responsible for the development of quantitative models, with a focus on market risk (VaR and stress testing), balance sheet models (IRRBB, liquidity risk) and counterparty credit risk models (xVA, PFE).
• Perform analysis to provide effective challenge to existing models by evaluating model related risks including input data, model assumptions and limitations, conceptual soundness, methodology, outcomes analysis, benchmarking, monitoring, and model implementation.
• Ensure model development, monitoring, and validation approaches meet regulatory expectations and internal risk management needs.
• Establish a model monitoring and back testing framework, analyze the results and recommend necessary remediation actions.
• Communicate with model users, trading desks and business lines to enhance models and ensure correct use of models.
• Provide quantitative support to traders (in the risk modelling context), to ensure the successful integration of new products and pricing models.
• Overseeing Treasury activities: Identify market and other treasury risks (including: Liquidity, Interest Rates, FX, Equity, Prices, Counterparty Credit) the Bank is exposed to and the sources, triggers and effects of these risks. Assess current measurement and monitoring processes, recommend enhancements where necessary and support Market Risk analysts in monitoring and mitigating activity in order to ensure market risk is managed within the appetite acceptable to the Bank.
• Provide subject matter expertise in the deployment of new Treasury and ALM systems and the processes required for their ongoing use and maintenance from a models, market and counterparty risk perspective.
• Ensure all models and related processes are appropriately documented with proper procedures and support the Head of Market Risk as required in the development of wider Market and Treasury Risk policies and procedures.
Education and Experience:
• 10+ years banking experience of which at least 5 years in a position in Treasury risk and balance sheet modelling
• Strong knowledge of VaR, PFE and IRRBB measurement and implementation.
• Have a Deep understanding of treasury business, global capital markets and advanced market risk knowledge including fixed income, FX, IR, and commodity derivatives and their valuation methodologies.
• Strong understanding of Treasury and Structured products.
• Practical experience using different information systems (Bloomberg, Reuters).
• Working experience in implementing treasury systems
• Working experience with programming languages (C++, VBA and/or Python
• Masters Degree in Finance, economics or mathematics
• FRM/CQF or PRM helpful
About the Company
In 1969, when we at Commercial Bank of Dubai started out little did we know that sheer grit and determination would get us where we are today. An Emiri Decree issued by His Highness the Late Sheikh Rashid Bin Saeed Al Maktoum, the founder of modern Dubai, laid the cornerstone of Commercial Bank of Dubai. We started out as a joint venture of Commerzbank, Chase Manhattan Bank and Commercial Bank of Kuwait. A minority stake was held by a few UAE businessmen.
By 1982, little more than a decade later, we evolved into a National Public Shareholding company. A feat complimented by an exponential increase in the capital base and mammoth restructuring of our operations. The feather in the cap came when the Government of Dubai became a key shareholder.
Over the decades, we have transformed ourselves into a progressive and modern banking institution. We are supported by a sturdy financial base and reigned by a strong and stable management. The proof of which lies with our customers who have stood by us over the years.