Corporate Credit Risk Analytics Manager Abu Dhabi Islamic Bank

Abu Dhabi Islamic Bank is presently accepting applications from suitable candidate for the job role of Corporate Credit Risk Analytics Manager. This role is of high importance within Group Risk Management which will have a direct impact on the compliance of the bank with regulatory mandate on model management. The impact of this role on the non-retail banking business would be direct and significant as the incumbent is required to develop and maintain credit risk 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.

Responsibilities of Corporate Credit Risk Analytics Manager

• Quantitative analysis & modelling: Take a lead role in developing non-retail credit rating models, macro-overlay models and LGD models and participate in development of retail banking rating models as and when required by the Head of the team.
• In line with the requirements, participate in the deployment and integration of non-retail credit models in bank’s systems and processes.
• Develop methodologies to ensure effective monitoring of the models.
• 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 purpose.
• Provide required input for ICAAP and Macro Stress Testing for the Non-Retail Portfolios
• Support the team head and overall function in ensuring compliance requirement are fulfilled without deviation.

Customer (Internal & External):

• Liaise with the validation team on a regular basis to build and maintain compliant models. 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.
• Coordinate with team lead and validation team for model methodology review and approvals.
• Provide analytical support to the business.
• Coordinate with external vendors whenever required in relation to activities within scope.
• Assist in Cost-of-Credit budgeting exercise for non-retail products

Internal (Processes, Products, Regulatory):

• Review existing model development and ECL calculations in light of 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.
• Ensure efficient functionality of the deployed models on the rating platform, and institutionalize the effective usage by conducting regular verification of inputs & outputs.
• Develop credit models as per requirement from the business keeping in view the dynamics of credit portfolios and the best risk management practices.
• Lead 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.
• Address/ facilitate 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 the improvements to stakeholders.
• Create, maintain and update model / scorecard related documentation.
• Maintain historical datamart for non-retail products, with all the relevant parameter required for risk modeling, to bring efficiency and consistency in data preparation step of model development.

Requirements of Corporate Credit Risk Analytics Manager

The requirements of Corporate Credit Risk Analytics Manager are as under:

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

Skills and Knowledge Desired

• 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 aware of latest analytical techniques including ML algorithms such as SVM, 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)
• Should have 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.

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