About The Role

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.