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Senior Manager Risk Analytics    

  • Competitive
  • McGregor Boyall
  • Risk Management | Credit
  • Dubai
  • United Arab Emirates
  • 16/01/2018

Responsibilities include:

  • Corporate & Retail PD models development, validation and implementation. This includes rating models specific to the portfolio segment e.g. Large Corporate, Middle Market, Contracting, Small Business, Commercial Real Estate, Retail Scorecards etc.
  • Periodic reporting to the Management on the performance of the model by creating standardized templates.
  • Review/refine models based on actual experience and provide recommendations on the scorecards to improve the accuracy and predictive power of the model.
  • Provide analytical support on the corporate portfolio.
  • Implementation of model risk governance framework in the bank.

Basel IRB Accreditation / IFRS 9 Models Validation

  • Ensure that all IFRS9 and IRB models are validated every year.
  • Ensure complete documentation and approval for all the models in use.
  • Initiate Computation of Basel FIRB Capital requirement after incorporating the PDs and LGDs derived out of internal rating models & Scorecards.
  • Documentation: Develop & maintain documentation required for Basel IRB accreditation.

PD Models Retail Banking (All Products)

  • Generating behavioral scores for the retail portfolio (Product wise) on a monthly basis.
  • Monitoring Application scorecards on monthly basis and comparison of Scorecard based rejects and policy rejects.
  • Assisting the technology team to implement the revised cut-off scores into the system and validating the same by User Acceptance Testing.

LGD & EAD Models Retail Banking (All Products)

  • Computation of LGD & EAD scores for the Retail Portfolio.
  • Calculation of Expected loss for each retail obligor.
  • Develop / amend / validate scorecards for new segments.
  • Fine tuning retail scorecards based on policy level changes and changes in population stability.

Experience required:

  • 7 years of relevant experience in the analytics and predictive modeling domain. CFA/FRM/PRM preferred.
  • Proficiency in Statistics and Mathematics.
  • Detailed knowledge of IT systems/ applications.
  • Proven expertise in analytical tools such as SAS and SPSS is must.
  • Good understanding of Financial Statements.
  • Proven expertise in Microsoft Excel, VBA macros and PowerPoint is must.
  • Expertise in modeling techniques including but not limited to Regression, Decision trees etc.
  • Experienced in development and validation of Retail scorecards (PD and LGD).
  • Good Knowledge & understanding of Basel Accord and Risk Management.
 
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