Full-time
Sub Division: Group Enterprise, Market & Liquidity Risk
Division: Group Risk Management
Company Description
Join the UAE’s largest bank and one of the world’s largest and safest financial institutions. Our focus is to create value for our employees, customers, shareholders and communities to grow through differentiation, agility and innovation. 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 a top company, in an exciting and dynamic industry
Job Description
The purpose of the job is to manage the pricing models and other risk models, and enhance the risk modelling. The candidate will review the models used by Global Markets for pricing and hedging derivatives and the models used by Risk and Credit Department for monitoring the Bank positions.
The candidate will assist in developing the model risk framework, ensure that models are validated before deployment in the production, monitor the outcomes of the validation, track recommendations in timely fashion and mitigate the limitations arising from the models.
KEY ACCOUNTABILITIES:
• Review the model assumptions, model implementation and by implementing independent tests.
• Recommend appropriate model reserves that would mitigate model limitations / assumptions, used for pricing
• Enhance existing Market Risk Models used for VaR, ES and risk monitoring in the following asset classes: IR, FX, Equity, Commodity and Credit.
• Perform full model validation not limited to P&L, but include the impacts on the Value-at-Risk, the Pre-Settlement Risk, the counterparty valuation adjustment and the regulatory reports such as Capital and Stress testing
• Develop and implement independent models to benchmark production models.
• Document the performed analysis, testing and finding
• Circulate the corresponding reports to model Users and the relevant stakeholders
• Monitor the valuation methodologies, and specify the internal valuation methodologies
• Approve the market data used for valuation and for risk systems
• Develop model risk analysis tools, such as back testing tools, to support ongoing model validation.
• Develop model lifecycle, by monitoring the modelling decisions, model development, the outcomes of the validation and report regularly on the model risk.
• Take final outputs to the committees for ratification
• Collaborate with Finance and advise on the modelling limitations that may affect the valuation.
• Collaborate with Global Markets and revisit regularly modelling requests.
Qualifications
Minimum Qualification
• A higher academic qualification (Master, or equivalent degree.) in quantitative area e.g. mathematical finance, econometrics, physics
• Good knowledge in pricing models, pricing theory, curve construction and/or CVA, exposure models
• Good knowledge of the asset classes (FI, FX, commodities, equities, hybrid derivatives)
• Strong knowledge in Mathematics, Statistics, Stochastic calculation and Numerical analysis
Minimum Experience
• Overall work experience 7-10 year where 4-7 years in model validation or in quantitative area in Financial Markets / Market Risk with reputable Banks
• Ability to work accurately under pressure to tight deadlines.
• Experience Market Risk / Trading systems including Bloomberg, Reuters, Murex or similar
• Strong communication, presentation and writing skills
• Knowledge of Arabic is desirable, but not essential
• Knowledge of Murex, Numerix and/or coding skills in C++/Matlab/Python would be a distinct advantage
