Dubai Islamic Bank
Manager Risk Modelling & Stress Testing at Dubai Islamic Bank is responsible to perform the model development, process automation and enhancement, capital management and stress testing, and reporting for internal and external (regulatory and audit) requirements of the Bank.
Responsibilities of Manager Risk Modelling & Stress Testing
- Automate the process of data extraction, processing (with required checks and rules), preparation for analytical use and reporting.
- Macroeconomic and Idiosyncratic model development as per the model governance framework of the Bank. Should be able to develop alternate models using XGBoost, gradient boosting methods or other advanced machine learning methodology.
- Must have IFRS9 model development experience.
- Perform analysis on the analytical models inherited from other users within stress testing and ICAAP to ensure the models are fit for purpose.
- Develop and maintain a model inventory and ensure the inventory is complete, accurate, and consistent with the model governance framework.
- Liaise with model owners and users to provide quantitative solutions in timely manner.
- Coordinate with other quantitative analysts within the Bank to ensure that the analysis undertaken is consistent and in-line with the Bank practices and known reality.
- Ensure accuracy and completeness of archived information and related documentation to allow independent third party review of the validation work performed.
- Perform data due diligence and data preparation required for the audit and regulatory compliance.
- Prepare procedure and policy documents for the underlying data and modelling related job within the unit.
- Liaise with the auditors and validators for ensuring satisfactory compliance.
- Develop risk dashboard for the unit.
- Develop smart reports and automate the reporting framework for the unit.
Requirements of Manager Risk Modelling & Stress Testing
- Bachelor’s/Master’s degree in Applied Math, Applied Statistics, Actuarial Sciences, Economics, Computer Science.
- Minimum of 6 – 8 years of work experience in model development or model validation in the Banking industry.
- In case of Master’s degree experience req. may be relaxed by 2 years.
Skills and Knowledge Desired
- Hands on data science and coding skills (SAS, R, Python, SQL).
- Working knowledge of Banking Products, Services and Operations Knowledge.
- Excellent quantitative skills for modeling and research.
- MIS Generation and Analytics.
- Regulatory and Compliance Knowledge.
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