VP & Head of Non-Retail Credit ICAAP Validation
1 month ago
Job Description
Job Purpose:
The purpose of this role is to lead the model validation and monitoring team for non-Retail models within First Abu Dhabi Bank. The coverage scope will initially include Credit Risk/IFRS9/Credit for non-Retail portfolios along with ICAAP Stress Testing models, which may be extended based on the requirement. The current number of models are around 40.
The candidate would be required to closely support the non-retail Model Validation team in HO and work with other stakeholders, internal and external, to understand the requirements and perform validation and monitoring of all new and existing models in the inventory in a high quality, time bound manner while being fully compliant with Audit and Central Bank requirements.
This is a specialized quantitative role and requires a candidate with strong statistical background, technical knowledge and industry experience of risk models for non-Retail portfolios and stress testing models. The candidate should have a complete understanding of all major statistical tests used for modelling viz. model stability, accuracy and risk discrimination and their consequent impact on Bank's risk profile.
The person will be responsible for leading the delivery of validation and monitoring of non-Retail risk models / ICAAP models, supporting the validation team in HO in planning their model validation & monitoring cycle.
The job also requires ensuring close tracking of model risks and keeping the Model validation team in HO regularly updated, supporting the HO team in supporting business and model development teams with model improvement suggestions, ensuring Auditors and Central bank expectations on Model Risk are regularly met.
Key Accountabilities:
For the non-Retail credit risk & ICAAP models, the key accountabilities, which are currently envisaged, are as below:
- Fully understand all major statistical tests used for modelling viz. model stability, accuracy and risk discrimination and their consequent impact on Bank's risk profile.
- Design appropriate validation technique and ensure implementation of same.
- Planning and execution of validation and monitoring calendar to meet business, audit and different central bank requirements [different locations].
- Assist VP, Head of non-retail Model Validation [UAE HO] in external and internal stakeholder engagement with respect to non-retail model validation and monitoring.
- Responsible for adherence to compliance requirements.
- Supervise GBS team members who are involved in non-Retail model validation/monitoring process.
- Provide regular report to senior management on model risk dashboards, suggest pro-active remedial actions, should there be any risk.
- Version maintainance and update of Model Validation Policy.
- Online and offline update of model inventory, validation observations and current status, key model risk items along with resolution plan.
- Develop a team of technical experts, their regular monitoring and performance evaluation.
Job Context:
First Abu Dhabi Bank is a large, diversified bank operating in consumer, corporate, investment, transaction and wealth banking, largest in UAE and second largest in MENA by asset size. The bank's asset size has been increasing over the year across all business lines. Size, breadth and complexity of the portfolio has increased the model complexity along with increasing regulatory scrutiny.
The regulator has strongly advised to develop a team of skilled and experienced internal resource. Regulator expects internal resources to own the methodology and techniques for model validation & monitoring, model governance. The job is hence critical for tracking risk models and ensuring they are fit for purpose, timely escalation of significant model deterioration, keeping close watch on the overall model governance to give confidence to senior management, auditors and regulators.
The job additionally requires review of external environment [economic events, business events and regulatory guidelines] and pro-actively advise corrective action plan.
Qualifications
Minimum Qualification
- Master's degree in quantitative science (statistics, mathematics, economics) from a premier institution, in UAE or abroad.
Minimum Experience
- 10-13 years of experience in successfully executing Model Validation and Monitoring role for a bank of similar product landscape and complexity. Having worked in global delivery model with reputed banks [onshore-offshore] is a plus
- Should have demonstrated experience in managing a team of experienced modelling professionals particularly Validation and Monitoring. Cross culture experience would be a plus
- Should have hands-on validation experience on non-Retail Ratings and Regulatory models Regulatory models in addition to ICAAP/ Stress testing models.
- Comprehensive understanding of traditional and new modelling techniques: linear and logistic regression, timeseries, Decision Tree etc. & Random Forest, XGboost, Neural Networks, etc).
- Should have experience and strong knowledge SAS, Python and R. Should be willing to learn newer technologies which are open source based and should be comfortable in working in collaborative manner on a cloud based environment.
- Excellent interpersonal & communication skills – verbal and written
- Proven experience of developing team of high performers and experience in managing conflicts would be required.
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