Model Risk & IFRS9
Role Overview
Technical, data-driven role in the ERM Risk Function’s Risk Data Management team for UAE operations.
Leads risk-data pipeline design, implementation, and governance aligned with regulatory and modelling requirements.
Supports data used in PD, LGD, and EAD models, including default tagging, post-default events, recovery tracking, and exposure computation.
Key Skills for This Role
Full Job Posting
Role purpose
Technical, data-driven role in the ERM Risk Function’s Risk Data Management team for UAE operations.
Leads risk-data pipeline design, implementation, and governance aligned with regulatory and modelling requirements.
Supports data used in PD, LGD, and EAD models, including default tagging, post-default events, recovery tracking, and exposure computation.
Key responsibilities
- Manage the end-to-end IFRS9 impairment process, including ECL calculation and business-as-usual reporting.
- Develop IFRS9- and AIRB-compliant PD, LGD, and EAD credit-risk models.
- Develop application, behavioural, and collections scorecards and macroeconomic default models.
- Monitor and validate credit-risk models under Basel and other regulatory guidelines.
- Extract and transform data from databases using SQL and BusinessObjects reports.
- Ensure risk data availability, accuracy, and traceability for modelling and regulatory use.
Experience and skills
- At least five years of experience in risk, financial services, or quantitative modelling.
- Strong IFRS9 knowledge and end-to-end impairment-process experience.
- Programming skills in SAS, Python, R, Excel with VBA, and SQL.
- Experience with linear and logistic regression, CHAID segmentation, and cluster analysis.
- Strong analytical skills, attention to detail, communication, planning, and organization.
Joining timeframe
- Expected joining timeframe is two weeks, with a maximum of one month.
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