Vice President - Model Validation

الوصف الوظيفي
JOB SUMMARY:

The purpose of the job is to review & validate all the valuation and Market Risk and Counterparty Risk models implemented within Global Markets and Group Treasury.

MAIN DUTIES:

Carry out an independent detailed validation of existing Market Risk Models used both for pricing and VaR in the following asset classes: IR, FX, Equity, Commodity and Credit.
Defining and maintaining the Approved Product List in compliance with model Validation and Risk Appetite
Carry out an independent detailed validation of existing Counterparty Credit Risk Models (XVA, PFE/EPE)
Carry out an independent detailed validation of existing Liquidity and ALM models
Defining Back testing framework for Risk models validated
Calculate model Risk reserves and report to senior management
Assisting senior management building a clear view on the valuation and VaR model risk within the Group
Assisting a team of Risk Analysts in any quantitative analysis and development
Yearly reassessment of all the models validated as per Bank and best practice policy
Murex is the main market and counterparty Risk system and would be the main job context, so knowledge of this system would be of great advantage.
Work closely with several teams to achieve the role objective:
* Group Finance: Product control – active liaising to ensure the reflection of models used for accounting & P&L;* Credit team – for models relating to measurement of counterparty credit risk

المهارات
Ph.D or Master degree in a quantitative discipline (e.g. financial mathematics, physics).
5 – 10 years of Total banking experience, with a minimum of 5 years specific experience as a quantitative risk analyst in a tier 1 financial institutions.
Knowledge of financial markets, financial mathematics, industry best practice risk modelling methodologies, knowledge of financial products
Pricing models and a basic knowledge of stochastic calculus, statistics and numerical resolution methods.
Experience in quants with financial quantitative modelling and risk analytics.
Ability to work efficiently under pressure to meet tight deadlines.
Strong inter-personal skills in order to interact confidently with Front office, senior management and risk model developers.
Total banking experience of 8 years with a minimum of 5 years specific experience as a quantitative risk analyst in a large Corporate and Investment Bank
Knowledge of Murex, Numerix and/or coding skills in C++/Matlab would be a distinct advantage.Knowledge of Murex would be a distinct advantage.

تفاصيل الوظيفة
منطقة الوظيفة: أبوظبي, الإمارات العربية المتحدة قطاع الشركة: البنوك طبيعة عمل الشركة: صاحب عمل (القطاع الخاص) الدور الوظيفي: التمويل والإستثمار نوع التوظيف: دوام كامل الراتب الشهري: غير محدد عدد الوظائف الشاغرة: غير محدد الرقم المرجعي للوظيفة: JB3761350
المرشح المفضل
المستوى المهني: متوسط الخبرة

https://www.bayt.com/ar/uae/jobs/vice-president-model-validation-3761350/