Senior Manager Traded Risk Model Commercial Bank of Dubai

  • Full time
  • Dubai, UAE
  • Posted 3 weeks ago
  • 25000-35000 AED / Month

Commercial Bank of Dubai

Senior Manager Traded Risk Model Commercial Bank of Dubai is responsible to develop, implement and manage Market and Counterparty credit risk models and support the Head of Market Risk in wider Treasury Risk management activities.

Responsibilities of Senior Manager Traded Risk Model

  • Design and implement new approaches and enhance existing methodologies to advance market risk and Counterparty credit risk measurement.
  • Responsible for the development of quantitative models, with a focus on market risk (VaR and stress testing), balance sheet models (IRRBB, liquidity risk) and counterparty credit risk models (xVA, PFE).
  • Perform analysis to provide effective challenge to existing models by evaluating model related risks including input data, model assumptions and limitations, conceptual soundness, methodology, outcomes analysis, benchmarking, monitoring, and model implementation.
  • Ensure model development, monitoring, and validation approaches meet regulatory expectations and internal risk management needs.
  • Establish a model monitoring and back testing framework, analyze the results and recommend necessary remediation actions.
  • Communicate with model users, trading desks and business lines to enhance models and ensure correct use of models.
  • Provide quantitative support to traders (in the risk modelling context), to ensure the successful integration of new products and pricing models.
  • Overseeing Treasury activities: Identify market and other treasury risks the Bank is exposed to and the sources, triggers and effects of these risks.
  • Provide subject matter expertise in the deployment of new Treasury and ALM systems and the processes required for their ongoing use.
  • Ensure all models and related processes are appropriately documented with proper procedures and support the Head of Market Risk as required.
  • Work closely with treasury front office, back office and financial control team to ensure high quality reporting to internal and external stakeholders.

Requirements of Senior Manager Traded Risk Model

  •  Master’s Degree in Finance, economics or mathematics.
  • 10+ years banking experience of which at least 5 years in a position in Treasury risk and balance sheet modelling.
  • Practical experience using different information systems (Bloomberg, Reuters).
  • Working experience in implementing treasury systems.
  • Working experience with programming languages (C++, VBA and/or Python.

Skills and Knowledge Desired

  • Strong knowledge of VaR, PFE and IRRBB measurement and implementation.
  • Strong understanding of Treasury and Structured products.
  • Strong investigative and interpretive skills. Highly numerate with excellent research ability.
  • Problem solving ability.
  • Analytical skills.
  • Strong PC skills, particularly Excel (VBA).
  • Persuasive communication / presentation skills.
  • Ability to explain complex issues and technical information clearly.

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