Manager Full Time

In this role, your key responsibilities include:

• Model Development and Maintenance: Develop fit-for-purpose credit risk models meeting business and regulatory requirements, conducting regular performance measurement on model performance and recalibration exercise when required to ensure the models are fit for ECL and economic capital calculation Obtain business requirements for model development in order to provide information on models to stakeholders Present models ‘result to Senior Management (Model Risk Management Committee) to ensure their understanding Conduct regular performance measurement on discriminatory power and back testing and calibrate/redevelop the model when necessary to ensure the model can be used in Expected Credit Loss (ECL) and economic capital calculations.
• Data Management and Analysis: Prepare data requested for ECL production on a monthly basis, review and revise all tables, fix any anomalies generated by the system and analyse the results to ensure an accurate calculation of the provision at account level for the Bank when reporting to Central Bank of the UAE (CBUAE).
• Stress Testing: Support the line manager in conducting stress testing in order to assess the impact on Bank profitability, capital and solvability and prepare executive and risk committee presentations.
• Internal Capital Adequacy Assessment Process (ICAAP) Reporting: Assist the line manager in the annual Internal Capital Adequacy Assessment exercise in order to provide reports to Executives, ADCB Risk Committees and the Central Bank and ensure continuous improvement on internal assessment of risks Participate in the annual Internal Capital Adequacy assessment exercise in order to provide reports to executives, ADCB risk committees and the CBUAE and ensure continuous improvement on internal assessment of risks.
• Advice and Guidance : Provide advice and guidance to various departments across the organisation in order to assist them with the application of credit risk models, policy and Risk Adjusted Return on Capital (RAROC) utilisation.
• Economic Capital: Conduct economic credit risk and concentration risk capital calculation on a quarterly basis and analyse the results in order to assess any increase in single name and sector concentration and report to senior management/CBUAE on a quarterly/annual basis.
• Research: Conduct research on industry-leading best practice to ensure that the Bank’s credit risk methodologies and models are continuously developed and refined.
• Policies, Processes, Systems and Procedures: Adhere to all relevant organisational and departmental policies, processes, standard operating procedures and instructions so that work is carried out to the required standard and in a consistent manner while delivering the required standard of service to customers and stakeholders.
• Self-Management: Manage self in line with the Bank’s people management policies, procedures, processes and practices to ensure adherence and to maximise own contribution to business performance.
• Customer Service: Demonstrate Our Promise and apply the ADCB Service Standards to deliver the Bank’s required levels of service in all internal and external customer interactions.

The ideal candidate should have the following experience:

• At least 6 years of experience in a Credit Risk Modelling function in an International Financial Institution with implementation experience of third party risk system platforms such as MRA and FERMAT
• Master’s Degree in Statistics, Mathematics, Finance or equivalent quantitative field
• Professional Risk Manager (PRM), Financial Risk Manager (FRM), or equivalent Professional Risk Management qualification
• Advanced understanding of models for credit risk parameters (Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD)) for both retail and wholesale Advanced knowledge of Basel accord and IFRS9 regulation and compliance requirements Deep understanding of credit risk capital calculation, stress testing and RAROC Knowledge on SQL, SAS, Python and VBA programming software Advanced MS Office skills Written and spoken English Analytical skills