Senior Manager, Model Governance & Model Validation

Role       : Senior 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 model validations and more generally supports the bank with advance quantitative analytics capability and standards. The role also contributes to the 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:

• Lead and manage model risk with the group and provide guidance and support on various model risk activities, such as model identification, model classification / tiering assessment, model inventory management, model risk controls and model risk reporting.
• Oversee the implementation of the model risk management framework across the group and ensure compliance with regulatory requirements and industry best practices.
• Identify, assess, and mitigate model risk and escalate any significant findings or incidents to model governance committee.
• Liaise with internal and external stakeholders, such as model owners, model developers, auditors, and regulators, and communicate effectively on model risk issues and remediation actions.
• Maintain and update model risk management policies, procedures, standards, and guidelines and ensure alignment with the group's risk appetite and strategy.
• Conduct regular model risk training and awareness sessions for model users and other relevant staff and promote a culture of model risk awareness and governance.
• Ensure that the Bank meets the requirement of the CBUAE “Model Management Standards and Guidelines”.

Independent Model Validation: 

• Support in the implementation of the ADIB model validation framework in line with regulatory requirements, among various asset classes and facility types. 
• Validate and review the various models in the model inventory by ensuring that the model development and review are in line with the banks’ policy and procedure. 
• Support the modelling team to ensure that models are fit for purpose and meet the demands of internal risk management and regulatory requirements. 
• Support in the development of statistical tools in Excel/VBA/R/SAS to analyze models’ sensitivity, model output review and comparing with challenger / replication model. Also review the model documentation to ensure that it captures model theory, sensitivity and limits. 
• Lead to the production of timely validation reports to Head of Model Governance & Model Validation and Model Governance Committee.
• 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 bank – through comprehensive handovers. 

ICAAP and Stress Testing:

• Contribute to reviewing the construction of scenarios and associated statistical models pertaining to ICAAP / Pillar II models. 
• Contribute to review of stress testing exercises. 
• Review the macro-economic enrichment process, associated macroeconomic scenarios needed for the stress testing exercise and associate documentation. 

Contacts:

With Frequency Nature
Head – Model Governance & Model Validation  Daily/Whenever required Discussion, consultation, progress, direction, and others.
Model Governance Committee Quarterly/Whenever required Discussion, consultation, progress, direction, and others.
Other Stakeholders within bank such as members of the ERM and with model owners / developers Whenever required

Discussion, consultation, progress, direction, and others.

Specialist Skills / Technical Knowledge Required for this role:

• Minimum of 12 years of relevant experience in risk management, model development / model validation in the financial industry and/or consultancy.
• A strong academic background with a quantitative major. PhD in a quantitative field is desirable but not mandatory
• 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