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.