Model Validation Consultant
Dubai, United Arab Emirates
Job Description
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My client a top tier Banking Organisation in the UAE are seeking strong model validation skills to support risk wide model validation initiatives in line with an increase in demand within their model development plan. This is an initial 6 month engagement, based on site in Dubai, UAE.
This group assesses the integrity and suitability of the Model parameters including calibrated and unobservable parameters, perform implementation testing and highlight any model risks. This group is also responsible to determine an appropriate classification for Model Risk Rating. The outcome of the model reviews must be discussed and agreed with the Model Owners, who are mainly senior management within the CRO function. It is expected you have worked in major banking organisations in large hubs such as UK, US, Europe, Singapore or Australia. Scope Of Models:
- Credit Risk Models: Across Banking credit scoring, PD models, IFRS9, LGD and EAD models.
- Pillar II Risk Models across concentration risk, business, model risk and balance sheet substantiation
- Regulatory stress testing models across ICAAP and regulatory models
- Review Risk models
- Ensure that the model meets its stated objective and intended use.
- Ability to identify the Model Risks and rate them appropriately
- Preparation of model review documentation
- Risk methods
- Ability to communicate with key stakeholders and senior management
- Ability to work effectively on multiple projects / across multilple business areas
- Relevant experience within the Retail Credit industry/ Wholesale Credit industry
- Previous experience working as a Credit Risk modeller or validating credit risk models
- Extensive experience conducting in depth analysis
- A degree in numerate discipline (ideally including a MSc of PhD)
- Excellent written and communication skills
- A track record of making complex business decisions with authority
- Relevant product knowledge of wholesale and retail credit lending
- Practical experience of retail and/or wholesale credit risk modelling techniques, especially IRB models. Experience with Stress Testing and Economic Capital models as well as model implementation systems would be desirable.
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Job Detail
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Job IdJD1653370
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IndustryNot mentioned
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Total Positions1
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Job Type:Full Time
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Salary:Not mentioned
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Employment StatusPermanent
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Job LocationDubai, United Arab Emirates
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EducationNot mentioned