Mashreq - Lead - Model Developement/Risk Management

Job Purpose: Wholesale Risk Model Development.

Key result Areas:

Technical & Delivery Responsibilities:

- Support the data preparation and model development, validation, and lifecycle management of Wholesale Rating Models.

- Support model development and validation including:

- Corporate/Wholesale Rating Models including Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending.

- Explore new approaches for rating model development for low default portfolios.

- Master Rating Scale (MRS) calibration.

- Wholesale Model Monitoring.

- Outline the goals of model monitoring, considering factors like accuracy and other relevant metrics based on the model purpose.

- Determine the expected performance of the respective models on historical data.

- Implement monitoring tools to continuously assess model performance.

- This includes monitoring input data quality, predictions.

- Communicate the model performance to relevant stakeholders to ensure the prompt attention to potential problems.

- Regularly review and improve the model performance process based on the feedback, change in underlying data and evolving business requirement.

- Data Management.

- Lead end-to-end data lifecycle management for model development, including sourcing, profiling, transformation, and documentation.

- Identify data requirements for model development.

- Coordinate with IT and data engineering teams to streamline data pipelines required for model development.

Knowledge, Skills and Experience:

- Strong foundation in Statistics and Mathematics.

- At least 4-5 years of banking experience, out of which 1-2 years are spent in related areas.

- Strong analytical skills and knowledge on Financial Risk Management.

- At least 2-3 years of banking experience in related areas.

- Excellent computer skills (especially R, Python, SAS, Excel, Visual Basic, SQL & Oracle).

- Postgraduate or professional qualification in risk management or finance such as CFA, FRM, PRM.

- Experience of developing teams in a multi-jurisdictional and matrixed organization.

- Understanding and experience of BCBS frameworks, CBUAE regulations relating to model management standards.