Job Description

Full-time
Sub Division: Group Enterprise, Market & Liquidity Risk
Division: Group Risk Management

Company Description

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FAB, the UAE's largest bank and one of the world's most secure financial institutions, is dedicated to creating value for its employees, customers, shareholders, and communities. Through innovation, agility, and differentiation, FAB is committed to fostering growth. We are looking for top talent and your success is our success. Accelerate your growth as you help us reach our goals and advance your career. Be ready to make your mark a top company, in an exciting and dynamic industry

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JOB PURPOSE:

The purpose of the job is to identify the model risk embedded in the pricing models and to mitigate it. The candidate will perform the model validation, and review the pricing models used by Global Markets for pricing derivatives.


Focus will be particularly on valuation/pricing models and any other relevant models. The candidate will develop the model risk framework and ensures that all products are validated before deployment in the production.

KEY ACCOUNTABILITIES:

Manage the validation process of Front Office system models both for pricing/valuation and risk analytics purpose

Review the impact analysis on PnL calculation due to change in methodologies and market data feed

Manage the Policies relating to Market Data Governance, Model validation and Model risk framework.

Perform an independent model validation by assessing the model assumptions, model implementation and propose mitigants like model reserves.

Recommend appropriate model reserves that would mitigate model limitations / assumptions.

Liaise with relevant units to ensure controls and model reserves are implemented properly all times, including implementing a process that ensures that validated settings are properly implemented (e.g. models & curves)

Perform full model validation not limited to P&L, but include the impacts on the Value-at-Risk, the Pre-Settlement Risk, the counterparty valuation adjustment and the regulatory reports such as Capital and Stress testing

Assess the impacts of the new model on risk management framework

document the performed analysis, testing and finding circulate the corresponding reports to model Users and the relevant stakeholders

Monitoring and leading the valuation methodologies, and specifying the internal valuation methodologies

Approving the market data used for valuation

Engage with auditors, regulators and external stakeholders for assurance on independent model validation.

Take final outputs to the committes for ratification

Qualifications

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Minimum Qualification

A higher academic qualification in quantitative area (Master, Ph.D.).

Strong knowledge in pricing models, pricing theory, curve construction,

Good knowledge of all asset classes (FI, FX, commodities, equities, derivatives) and of their pricing models

Strong knowledge in Mathematics, Statistics, Stochastic calculation and Numerical analysis

Minimum Experience

Work experience of 12+ years in model validation or in quantitative area in Financial Markets / Market Risk with reputable Banks

Ability to work accurately under pressure to tight deadlines.

Strong understanding of Market Risk / Trading systems including Bloomberg, Reuters, Murex or similar

Strong communication, presentation and writing skills

Knowledge of Arabic is desirable, but not essential

Experience dealing with Front Office

Project experience working with IT on the delivery of Risk System

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Knowledge of Murex, Numerix and/or coding skills in C++/Matlab would be a distinct advantage