Company: Abu Dhabi Commercial Bank
Location: United Arab Emirates
Employment Type: Full-time
Description:
Manager – Model Validation – Market Risk
Embark on a journey where your unique contributions are celebrated, and your professional growth is embraced. At ADCB, we nurture a diverse, inclusive community where every voice is valued.
About the business area:
Group Risk Management
ADCB prioritises a disciplined approach to risk, recognising its fundamental importance to the Bank’s long-term organisational and financial resilience. Group Risk Management oversees the implementation of ADCB’s risk objectives, identifying and addressing gaps in the bank’s risk infrastructure/framework. Their responsibilities include nurturing the independence of the risk function, establishing provisioning policies, and introducing changes to energise risk awareness among front office personnel and decision-makers. Continuously tuning the risk organisation in line with market best practices, they manage ADCB’s portfolio and associated risks to international standards, while establishing a clear risk… culture across all areas of operation.
We are actively seeking an ambitious professional to join our Group Risk Management team at ADCB to work alongside passionate colleagues who share your ambition to redefine excellence in UAE banking.
In this role, your key responsibilities include:
• Model Validation :
Assess the appropriateness and construction of models with respect to their current or planned use in order to determine the level of model risk associated, its assumptions, mathematical implementation, the Assess the appropriateness and construction of models with respect to their current or planned use in order to determine the level of model risk associated, its assumptions, mathematical implementation, the underlying data and its system implementation. The treasury, market, and liquidity risk (TMLR) models in scope for validation include, but are not limited to:
• VaR models,
• Counterparty Credit Risk models,
• Liquidity Risk models,
• IRRBB models,
• Front Office Pricing models,
• ALM models
• to minimise model risk from TMLR models to the Bank
Review appropriate model risk assessments consistent with the model’s risk content and intended usage in order to produce a validation report according to the policy and format including identification of model limitations, assumptions, conditions for model use and level of model risk
Obtain and provide information on models, communicate model risk issues and suggestions during the validation process, reporting on findings to ensure effective two-way communication with the Model Owners/Developers/Users set expectations.
2 . People Management:
Manage self and team in line with ADCB’s people management policies, procedures, processes and practices to ensure adherence and to maximise own and employee contribution to business performance
Organise and supervise the activities and work of the team to ensure that targets and objectives are achieved and the business plan is delivered in line with the required policies, processes, procedures and systems.
3 . Policies, Processes, Systems and Procedures:
Implement approved departmental policies, processes and procedures, and ensure employee adherence so that work is carried out to the required standard while delivering the required standards of service to customers and stakeholders.
4 . Continuous Improvement:
Manage and motivate the team to ensure they contribute to, and participate in, the identification and implementation of change initiatives, programmes and projects in line with the bank’s standards.
5 . Customer Service:
Demonstrate Our Promise and apply the ADCB Service Standards to deliver the bank’s required levels of service in all internal and external customer interactions.
The ideal candidate should have the following experience:
• At least 6 years of experience in quantitative risk management that includes end-to-end development and/or validation of treasury, market, and liquidity risk models.
• Bachelor’s Degree from a well-recognised university in a quantitative discipline.
• Masters or PhD in a quantitative discipline (e.g., Mathematics, Statistics, , Actuarial Science, Financial Engineering, Mathematical Finance, Engineering or Physics, Finance or Economics).
• Strong understanding of Foreign Exchange Markets, Money markets, Derivatives, Fixed Income, Structures and Liquidity Risk Management
Treasury Risk Modelling and Analysis
Local and International Banking Regulations and Compliance Requirements
General Risk Management Methodologies
Experience in Data Management
Excellent written and spoken English
Excellent communication skills across a range of different stakeholders
Well organised and able to work independently
Analytical thinking, goal driven with a capability of prioritisation
Advanced knowledge of Bloomberg and Reuters
MS Office (Word, Excel, PowerPoint, Outlook)
Advanced programming skills in Python, SQL, VBA (knowledge of R, MATLAB or SAS is an asset)
At ADCB, we are dedicated to creating a respectful, caring and disciplined work environment that aligns with your career ambitions
Source: LinkedIn
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