Manager Credit Risk Analytics

Role: Manager Credit Risk Analytics

Location: Abu Dhabi   

Role Purpose:

• This is an important role within Enterprise Risk Management which has a direct impact on the compliance of the bank with regulatory mandate on model management.
• The impact of this role on the business would be direct and significant as the incumbent is required to develop and maintain application and behavior scorecards and profitability models. 
• The incumbent is expected to perform advance analytics on the portfolio and continuously advise the Head of the team on emerging trends. 
• The role requires independent thinking, strong communication, initiative, interaction with stakeholders within the team. 
• The candidate will have specialized exposure and capacity to execute and deliver end-to-end risk analytics framework, functional / operational capacity with guidance from the team. 

Main responsibilities include:

• Quantitative analysis & modelling: Develop credit rating models, Scorecards, macro-overlay models, LGD models and EAD models
• In line with the requirements, participate in the deployment and integration of the models in bank’s systems and processes.
• Ensure effective monitoring of the models on a timely basis
• Conduct regular calibration and optimization of the deployed models.
• Perform monthly ECL / Provisioning calculation and report as per agreed timelines. Also develop IFRS based provision forecasting model for budgeting purposes.
• Perform ICAAP and Macro Stress Testing for the different portfolios.
• Support seniors and heads of the team in ensuring that all compliance requirements are fulfilled

Key Accountabilities:

Customer (Internal & External):

• Build and maintain compliant models as part of the team. Perform model remediation as per recommendation from validation team.
• Support in fulfilling requests from the external and internal auditors and the Compliance function as and when required.
• Provide analytical support to the business as and when required
• Assist in Cost-of-Credit budgeting exercise for different products

Internal (Processes, Products, Regulatory):

• Support in the exercise of model development and ECL calculations considering changing market conditions based on regulatory recommendations/ other best practices to ensure that a sound environment for identifying, assessing, measuring, monitoring, and controlling risk is in place.
• Assist in ensuring correct functionality of the deployed models on the scoring platform and institutionalize effective usage by conducting regular verification of inputs & outputs.
• Develop credit models as per requirements from the business, keeping in view the dynamics of credit portfolios and the best risk management practices. 
• Support in the development of risk models of Basel / IFRS9 components i.e., PD, LGD, EAD etc., among various asset classes and facility types, ensuring these risk measures comply with regulatory requirements through robust modelling process.
• Support in addressing/ facilitating correction of any weaknesses identified during assessments, audits, or examinations by internal/ external audit staff, Group Compliance personnel, regulators examiners or Sharia’ auditors as applicable.
• Conduct monitoring of the deployed models on a regular basis and produce reports with recommendations for improvements to stakeholders.
• Create, maintain, and update model / scorecard related documentation.
• Assist in the maintenance historical DataMart, with all the relevant parameter required for risk modeling, to bring efficiency and consistency in data preparation step of model development. 

Learning & Knowledge:

• Assist in development of training programs for team members, stakeholders on different conceptual aspects of quantitative analytics.         

Education and experience:

• 4 - 7 years in credit modeling, Basel II and IFRS 9 implementation in the banking sector
• Master’s degree in quantitative/finance, professional engineering or any other related field
• Professional Qualification such as FRM, PRM or CFA is desired

Additional requirements:

• Excellent Credit Risk modelling, analytical, and research skills.
• Experience working with large and complex data sets, including alternative data (bureau, open banking etc.) for credit models.
• Good knowledge of financial markets and products and abreast with latest analytical techniques including Machine Learning algorithms such as Support Vector Machines, Random Forest and Gradient Boosting etc.
• Possess superior knowledge of credit risk management best practices including but not limited to pertinent Basel II, Basel III and IFRS 9 Framework on expected credit risk loss, credit risk management and capital adequacy requirements.
• Possess strong quantitative skills and solid experience in developing, validating and monitoring risk models. Knowledge of the credit scoring systems available in the market and their use.
• Advanced user of statistical software (such as SAS and R or Python)
• Strong knowledge of handling Risk Technologies & its implementation.
• Ability to work independently on multiple tasks and/or projects.
• Excellent oral and written communication skills in English.
• Proficiency in risk concepts, banking products/ operations/ systems, pertinent regulatory requirements,
• Flexible team player and able to work and deliver under pressure.
• The ability to inspire and motivate others to gain commitment.