Assistant Manager - Model Risk Management
Mashreq
Date: 2 weeks ago
City: Remote
Contract type: Full time
Remote
Job Purpose:
The purpose of this role is to assist in end-to-end management of model risk within Mashreq group; focusing on model validation and its related activities. The role involves working on PD, EAD, LGD and Macroeconomic models from Credit Risk as well as VaR/PSRE/CVA/FRTB models from Market Risk.
Operating Environment, Framework and Boundaries, Working Relationships:
Regular interaction and working relationship with:
- Wholesale Risk Management
- Retail Risk Management
- Market & Operational Risk Management
- Group Finance and CAD
- Audit & Compliance
- Business Units
Problem Solving:
Candidate must possess the following skills:
- Sound understanding Bank Wide Risk Analytics – especially in credit and market risk model development/validation including PD, EAD & LGD model development for Retail and Wholesale portfolios
- Sound knowledge of regulatory frameworks such as Basel and IFRS 9.
- Proactive and hands-on approach towards answering complex theoretical / quantitative questions,
- Strong verbal and written communication skills.
Decision Making Authority & Responsibility:
Be a team player in
- Assist in the adequate maintenance of enterprise-wide model validation standards,
- Assisting in managing model risk governance issues i.e. integrity, data validation and related modeling activities,
- Measurement of key model performance metrics, risk capital etc.
- Preparing model performance related reports for consumption by senior stakeholders within the bank.
Knowledge, Skills and Experience:
- 3+ years of experience in the BFSI sector with understanding of risk management and risk quantification processes
- Master’s (or Bachelor’s with at least 2 extra years of experience) in Statistics, Mathematics, Operations Research, Engineering or related fields
- Knowledge of different types of risks such as Credit, Market, Operational etc.
- Understanding of model development and validation processes
- Strong quantitative skills
- Strong written and communication skills
- Hands-on experience of working on SAS, Python, R from model development/validation perspective
- Professional Qualifications such as FRM is a plus
- Sound knowledge of Microsoft Office tools such as Excel, Power point, Word
- Team player, self-starter, innovative and highly motivated.
The purpose of this role is to assist in end-to-end management of model risk within Mashreq group; focusing on model validation and its related activities. The role involves working on PD, EAD, LGD and Macroeconomic models from Credit Risk as well as VaR/PSRE/CVA/FRTB models from Market Risk.
Operating Environment, Framework and Boundaries, Working Relationships:
Regular interaction and working relationship with:
- Wholesale Risk Management
- Retail Risk Management
- Market & Operational Risk Management
- Group Finance and CAD
- Audit & Compliance
- Business Units
Problem Solving:
Candidate must possess the following skills:
- Sound understanding Bank Wide Risk Analytics – especially in credit and market risk model development/validation including PD, EAD & LGD model development for Retail and Wholesale portfolios
- Sound knowledge of regulatory frameworks such as Basel and IFRS 9.
- Proactive and hands-on approach towards answering complex theoretical / quantitative questions,
- Strong verbal and written communication skills.
Decision Making Authority & Responsibility:
Be a team player in
- Assist in the adequate maintenance of enterprise-wide model validation standards,
- Assisting in managing model risk governance issues i.e. integrity, data validation and related modeling activities,
- Measurement of key model performance metrics, risk capital etc.
- Preparing model performance related reports for consumption by senior stakeholders within the bank.
Knowledge, Skills and Experience:
- 3+ years of experience in the BFSI sector with understanding of risk management and risk quantification processes
- Master’s (or Bachelor’s with at least 2 extra years of experience) in Statistics, Mathematics, Operations Research, Engineering or related fields
- Knowledge of different types of risks such as Credit, Market, Operational etc.
- Understanding of model development and validation processes
- Strong quantitative skills
- Strong written and communication skills
- Hands-on experience of working on SAS, Python, R from model development/validation perspective
- Professional Qualifications such as FRM is a plus
- Sound knowledge of Microsoft Office tools such as Excel, Power point, Word
- Team player, self-starter, innovative and highly motivated.
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