Manager – Model Governance & Model Validation

Role       : Manager – Model Governance & Model Validation
Location : Abu Dhabi                            
Role Purpose:
This role supports a strategic function within Group Risk Management. It is a key contributor to the model risk governance & independent validation of models and more generally supports the bank with advance 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 skill to interact with a diverse range of stakeholders within Group Risk.
    
Key Accountabilities of the role      
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 risk reporting.
• Support in the implementation of the model risk management framework across the group and ensure compliance with regulatory requirements and industry best practices.
• Support in Identify, assess, and mitigate model risk and escalate any significant findings or incidents to model governance committee.
• Ensure that the Bank meets the requirement 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 in line with IFRS9 and Basel Requirement, among various asset classes and facility types. 
• Validate and review the various models of the bank with a focus on trading risk, market risk, credit risk, macroeconomic overlay models and ensuring that the model development are in line with the banks’ policy and procedure  and regulatory requirements. 
• 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 to analyze models’ sensitivity and behaviour. Also, review the model documentation to ensure that it captures model theory, sensitivity, and limits. 
• Lead to 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. 

Contacts:

With Frequency Nature
Head – Model Validation and Model Governance Daily/Whenever required Discussion, consultation, progress, direction and others.
Group Chief Risk Officer Monthly/Whenever required Discussion, consultation, progress, direction and others.
Other Stakeholders within bank such as members of the ERM, Market Risk and with model owners / developers Whenever required

Discussion, consultation, progress, direction and others.

Specialist Skills / Technical Knowledge Required for this role:
 

• 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 – 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