Manager Market Risk Models Abu Dhabi Islamic Bank

Manager Market Risk Models at Abu Dhabi Islamic Bank is responsible to monitor, report, and model Market risk, build Stress Test Scenarios, Liquidity Risk, as well as support and due diligence Treasury, Capital Markets, Assets and Liability management activities. The job holder is expected to add value by developing and maintaining Risk Models and recommending improvements to the risk management framework, through bringing a combination of strong quant capabilities, robust market risk management techniques, practices and discipline.

Responsibilities of Manager Market Risk Models

• Developing, validating, and implementing models for value at risk (VAR), stress testing, and asset liability management (ALM) using advanced statistical and mathematical techniques.
• Performing data analysis, back testing, and scenario analysis to assess the performance and accuracy of the models.
• Providing technical support and documentation for the models and ensuring compliance with regulatory requirements and internal policies.
• Collaborating with other teams such as trading, finance, and IT to integrate the models into the risk management.

Requirements of Manager Market Risk Models

• A master’s or PhD degree in quantitative finance, mathematics, statistics, physics, engineering, or a related field.
• At least 3 years of experience in market risk modelling or a similar role in a financial institution or consultancy firm.

Skills and Knowledge Desired

• Strong knowledge of market risk concepts, measures, and regulations such as VAR, stress testing, ALM, Basel III, etc.
• Proficient in programming languages such as Python, R, MATLAB, C++, etc. and familiar with databases and data analysis tools such as SQL, Excel, etc.
• Excellent analytical, problem solving, and communication skills and attention to detail.
• Ability to work independently and as part of a team in a fast-paced environment.

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