AVP- ICAAP Models

3 months ago

Bengaluru, India First Abu Dhabi Bank Full time

Job Description

Job Purpose:

The candidate would play a key role in the Portfolio Capital Management, Basel & Risk Analytics team with the Group Risk function and would be accountable for providing support in the overall capital management process at FAB by assisting in the preparation of ICAAP report, RRP and maintenance of the related policies and procedures. The candidate would also be responsible for development and maintenance of related documentation for the Pillar II / Stress testing models to be in compliance with Model management standards and support / provide guidance to international locations pertaining to their capital management requirements. It is expected that the candidate is well versed with local and international guidelines pertaining to Basel and has prior ICAAP related experience.

Key Accountabilities:

Group-wide ICAAP framework

Assist the Head of ICAAP in fulfilment of Basel Pillar II related regulatory requirements pertaining to ICAAP reporting Preparation of the FAB Group ICAAP with relevant disclosures within the mandated timelines including but not limited to Pillar I Internal Assessments, Pillar II Risk Assessments, Macro-economic, Idiosyncratic and Reverse Stress testing, Governance, Risk Appetite, Risk Management Framework, Business Model, Capital Planning, Key Changes, ICAAP Variance Analysis etc. Coordination with multiple stakeholders with Group Risk and across departments like Finance, Credit, Compliance etc. regarding ICAAP inputs Preparation and sharing of relevant details with regulators and internal / external auditors and assist in addressal of related queries Preparation and update of audit tracker for monitoring and closure of internal, external and regulatory audit points pertaining to ICAAP Enhancement of ICAAP reporting by addressing the internal and regulatory audit observations as well as work towards identification of opportunities for continuous improvement basis best practices

ICAAP Model Development & Management

Preparation and update of Model Development document & Model Monitoring document in line with Model Management Standards / Guidance for all the Pillar II, Stress testing & Capital forecasting models Update of the Models / Scorecards and its usage to be in line with the required Governance as per Model Management Standards / Guidance Prepare, own & update the Model Inventory pertaining to Pillar II, Stress testing & Capital forecasting models. Ensure that Model Validation is performed for the models as per its validation cycle Prepare and present the required analysis including but not limited to model monitoring results, any changes to the models etc. to the Model Oversight Committee for approvals and usage

Recovery and Resolution (RRP) framework and regulatory compliance

Assist the Head of ICAAP / RRP in fulfilment of regulatory requirements pertaining to Recovery & Resolution planning Assist in update of the Recovery & Resolution planning document within the mandated timelines including but not limited to setting of Recovery triggers, update of the Idiosyncratic, Systemic and Combined Recovery scenarios, selection and update of Recovery Options, update of Governance and Communication plan etc. Coordination with multiple stakeholders with Group Risk and across departments like Finance, Treasury, Credit etc. regarding RRP inputs Ensure that the RRP is in line and compliant with the local / international regulatory guidelines Preparation and sharing of relevant details with regulators and internal / external auditors and assist in addressal of related queries Preparation and update of audit tracker for monitoring and closure of internal, external and regulatory audit points pertaining to RRP Enhancement of RRP by addressing the internal and regulatory audit observations as well as work towards identification of opportunities for continuous improvement basis best practices

Policies Framework & International Locations Support

Implementation / Update of policy and procedure framework for capital management on an annual basis for FAB Group including but not limited Group ICAAP Policy, Group Pillar II & Stress testing Methodology & Other Related SOPs and Frameworks related to RRP Liaise with relevant stakeholders for update and approval of policies and procedures Review the other Group policies like ERM policy, Capital Management policy etc. and provide inputs from Capital Management perspective Review the ICAAP / Stress testing submissions of international branches / subsidiaries and guide the branches in the development of reports to satisfy local regulatory requirements and in line with Group Framework Review the Capital Management related policies and procedures of international branches and subsidiaries

Cross Functional Support

Assist in preparation of FSU Stress testing report, computations and disclosures as and when required Assist in Internal Pillar II & Stress testing computations as and when required

Qualifications

Minimum Qualifications:

Post Graduate degree in Business / Finance preferred CFA / FRM certifications would be preferred

Minimum Experience:

4-6 years in Risk Management / Risk Consulting with at least 2-4 years of Basel related experience

Knowledge, Skills, and Attributes:

Local & international regulations for Basel Overall knowledge of banking systems Excellent numeracy and accuracy Exceptional analytical skills Excellent verbal and written communication abilities

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