Assistant Manager - Model Risk Management

Job Purpose:

The purpose of this role is to assist in end-to-end management of model risk within Mashreq group; focusing on model validation and its related activities. The role involves working on PD, EAD, LGD and Macroeconomic models from Credit Risk as well as VaR/PSRE/CVA/FRTB models from Market Risk.

Operating Environment, Framework and Boundaries, Working Relationships:

Regular interaction and working relationship with:

• Wholesale Risk Management

• Retail Risk Management

• Market & Operational Risk Management

• Group Finance and CAD

• Audit & Compliance

• Business Units

Problem Solving:

Candidate must possess the following skills:

• Sound understanding Bank Wide Risk Analytics – especially in credit and market risk model development/validation including PD, EAD & LGD model development for Retail and Wholesale portfolios

• Sound knowledge of regulatory frameworks such as Basel and IFRS 9. 

• Proactive and hands-on approach towards answering complex theoretical / quantitative questions, 

• Strong verbal and written communication skills.

Decision Making Authority & Responsibility:

Be a team player in 

• Assist in the adequate maintenance of enterprise-wide model validation standards,

• Assisting in managing model risk governance issues i.e. integrity, data validation and related modeling activities, 

• Measurement of key model performance metrics, risk capital etc.

• Preparing model performance related reports for consumption by senior stakeholders within the bank.

Knowledge, Skills and Experience:

• 3+ years of experience in the BFSI sector with understanding of risk management and risk quantification processes

• Master’s (or Bachelor’s with at least 2 extra years of experience) in Statistics, Mathematics, Operations Research, Engineering or related fields

• Knowledge of different types of risks such as Credit, Market, Operational etc.

• Understanding of model development and validation processes

• Strong quantitative skills

• Strong written and communication skills

• Hands-on experience of working on SAS, Python, R from model development/validation perspective

• Professional Qualifications such as FRM is a plus

• Sound knowledge of Microsoft Office tools such as Excel, Power point, Word

• Team player, self-starter, innovative and highly motivated.