Abu Dhabi Islamic Bank Looking for Head of Corporate Risk Analytics at Abu Dhabi Full Time

JOB DESCRIPTION
Role : Head of Corporate Risk Analytics
Location : Abu Dhabi

Role Purpose:
This is a very senior role and of material importance within Group Risk Management which has direct impact on the Wholesale Banking Group, Private Banking Group and other non-retail businesses, as the incumbent is required to develop and maintain risk rating, profitability and IFRS9 related models and perform accurate monthly ECL calculations. The role requires independent thinking, strong communication, initiative, interaction with all stakeholders within the bank. The role is intended to provide advanced quantitative analytics support to the overall Risk Management function. The candidate will have specialized exposure and capacity to deliver end-to-end portfolio analytics framework, functional / operational capacity.
Main responsibilities include:

1. Define, develop and implement a Credit Risk Analytics function for Wholesale Banking that contributes to the overall Risk Management framework of the group.
2. Quantitative analysis & modelling: Take a lead role in developing PD, LGD and EAD models for corporate segments
3. Conduct regular validation, calibration and optimization of the deployed models & analytical support to the business
4. Liase with IT to have the developed or optimized models / scorecards deployed
5. Develop methodologies to ensure effective monitoring of the models
6. Perform monthly ECL/provisioning calculation and report as per agreed timelines. Also develop IFRS based provision forecasting model for budgeting purpose
7. Assess any enhancements required in IFRS9 implementation, liase with IT for ETL related changes & make the changes in the ECL calculator either in house or in consultation with vendors.
8. Perform ICAAP and Macro Stress Testing for corporate business. Review and incorporate CBUAE guidelines related to methodologies & inputs required in consultation with ERM team working on ICAAP and Macro Stress Testing.
9. Support the development of risk models for both Economic Capital and Risk Capital calculation
10. Coordinate with other unit functions as well as other departments to develop and implement risk policies & processes benchmarked with best industry practice and in line with the regulatory requirements, related to model governance
11. Support the department head and overall function in all Group Risk Projects & other initiatives

Key Accountabilities of the role
Customer (Internal & External):

• Provide timely and accurate risk analytics information to the Board and Senior Management as well as to the external and internal auditors and the Compliance function as and when required.
• Coordinate with stakeholders for model methodology review and approvals.
• Provideanalytical support to the business.
• Coordinate with external vendors whenever required in relation to activities within scope.
• Assist in Cost-of-Credit budgeting exercise for corporate businesses

Internal (Processes, Products, Regulatory):

• Review and propose necessary changes to the existing portfolio management techniques and procedures for the domestic and overseas business in light of changing market conditions based on regulatory recommendations/ other best practices to ensure that a sound environment for identifying, assessing, measuring, monitoring and controlling risk is in place.
• Introduce a mechanism for periodic reporting of the riskiness in terms of the PD ratings to signify portfolio quality trends to the relevant Board/management level committees.
• Ensure efficient functionality of the deployed models on the rating platform, and institutionalize the effective usage by conducting regular verification of inputs & outputs.
• Develop credit models as per requirement from the business keeping in view the dynamics of credit portfolios, regulatory requirements and the best risk management practices.
• Lead the development of risk models for both IFRS9, Economic Capital and Regulatory Capital calculation, i.e., PD, LGD, EAD etc., among various asset classes and facility types, ensuring these risk measures comply with regulatory requirements through robust model development and validation process.
• Address/ facilitate correction of any weaknesses identified during assessments, audits, or examinations by internal/ external audit staff, Group Compliance personnel, regulators examiners or Sharia auditors as applicable.
• Lead the development of modeling methodologies for portfolio management, covering the identification of concentration risk, portfolio rebalancing as well as the optimization of risk/return profile.
• Within the context of rigorous stress testing and scenario analysis, understand and advise the circumstances under which the bank’s profitability would be negatively impacted and provide the level of risk mitigation that is built in and the actions that would be taken in such circumstances.
• Create, maintain and update model / scorecard related documentation.
• Learning & Knowledge: Develop and lead training programs for team members, stakeholders on different conceptual aspects of quantitative analytics.

Education and Experience:

• 10-15 years in managing credit modeling and Basel II & IFRS9 implementation in the banking sector
• Master’s degree in quantitative or accounting or related field.
• Prior experience with Big 4, Large Banks in their risk modeling or advisory area or with top 3 Risk Rating firms

Additional requirements:

• Excellent Portfolio Management & Credit Risk modelling, analytical, and research skills
• Experience working with large and complex data sets.
• In-depth knowledge of financial markets and products and abreast with latest analytical techniques including machine learning algorithms such as support vector machines, random forest and gradient boosting
• Possess superior knowledge of credit risk management best practices including but not limited to pertinent Basel II, Basel III & IFRS9 Framework on expected credit loss, credit risk management and capital adequacy requirements.
• Possess strong quantitative skills and solid experience in developing, validating and monitoring risk models.
• Knowledge of the credit scoring systems available in the market and their use.
• Good understanding of Basel II/III and IFRS 9 etc.
• Advanced user of statistical software (such as SAS / R / Python / Matlab / ModelBuilder )
• Ability to work independently on multiple tasks and/or projects.
• Excellent oral and written communication skills in English.
• Proficiency in risk concepts, banking products/ operations/ systems, pertinent regulatory requirements,
• Flexible team player and able to work and deliver under pressure.
• Ability to inspire and motivate others to gain commitment.