Commercial Bank of Dubai
Head of Financial Models & Analytics at Commercial Bank of Dubai entails management of all risk analytics work streams related to Wholesale/Retail and Treasury Risk models. This is a very specialized role requiring a higher level of technical and analytics/ statistical skills.
Responsibilities of Head of Financial Models & Analytics
- Development/monitoring of Wholesale/Retail credit risk models to support the assessment of ongoing credit risk profile inputs for the calculation of regulatory capital, IFRS9 / ECL Expected Credit Loss and Loss Allowance.
- As required, support and provide input into Wholesale/Retail Credit Risk with the development of acceptance scorecards, behavioral scorecards, and initiatives to develop the internal credit rating systems.
- Make key recommendations on model enhancements, including the development of statistical and analytical approaches that can improve quality and accuracy i.e. credit risk ratings, loss estimates, risk weighted assets, stress testing, regulatory capital, ICAAP requirements, and to calibrate Through The Cycle and Point In Time default models.
- Interpretation of internal governance, policies, and Central Bank regulations pertaining to Model Risk.
- Development/monitoring of Treasury Models like IRRBB, VaR, XVA, PFE, etc.
- Upkeep of model documentation, including standard operating procedures, manuals and policies.
- Continuously review the Bank’s strategy for Risk/Treasury Models and provide the right inputs to the Senior Management to highlight both the key risks as well as opportunities within the Retail Portfolio.
- Provide support to the Wholesale/Retail Credit Risk team and Treasury with information to enable decision making i.e. Wholesale risk strategies and portfolio actions.
- Regular communication with Internal stakeholders, Product, Audit, Technology, Finance, Operations.
- And External stakeholders, Auditors, CBUAE, Consultants, and Vendors.
- Interactions with the Senior Management often during meetings or for Risk Model related models matters.
- Providing management information to enable Board reports, risk reports, and regulatory reports.
Requirements of Head of Financial Models & Analytics
- A degree in a numerate subject (e.g. mathematics, statistics, operational research, economics or MBA) from a reputed institute with knowledge of advanced statistical and analytical techniques.
- 10+ years’ experience of working in credit / risk/Treasury modelling for a leading Bank.
- Experience in Credit/Treasury risk/rating model development/ validation procedures and concepts and ability to manage own assignments independently.
Skills and Knowledge Desired
- Strong Data Analytical skills.
- Extensive experience manipulating and analyzing large amounts of complex data, building and implementing predictive models.
- Strong verbal and written skills that ensure you can explain technical concepts to less technically focused colleagues and produce suitable documentation.
- Database management including Risk models and Reporting tools.
- Strong knowledge on R packages, MS Access, Excel and Power BI.
- Strong knowledge of credit modelling using statistic tool such as SAS, SQL analytical tools, SPSS.
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