Assistant Manager - Model Risk Management

Job Purpose: The purpose of this role is to assist in end-to-end management of model risk within Mashreq group; focusing on model validation and its related activities. The role involves working on PD, EAD, LGD and Macroeconomic models from Credit Risk as well as VaR/PSRE/CVA/FRTB models from Market Risk. Operating Environment, Framework and Boundaries, Working Relationships: Regular interaction and working relationship with: * Wholesale Risk Management * Retail Risk Management * Market & Operational Risk Management * Group Finance and CAD * Audit & Compliance * Business Units Problem Solving: Candidate must possess the following skills: * Sound understanding Bank Wide Risk Analytics – especially in credit and market risk model development/validation including PD, EAD & LGD model development for Retail and Wholesale portfolios * Sound knowledge of regulatory frameworks such as Basel and IFRS 9. * Proactive and hands-on approach towards answering complex theoretical / quantitative questions, * Strong verbal and written communication skills. Decision Making Authority & Responsibility: Be a team player in * Assist in the adequate maintenance of enterprise-wide model validation standards, * Assisting in managing model risk governance issues i.e. integrity, data validation and related modeling activities, * Measurement of key model performance metrics, risk capital etc. * Preparing model performance related reports for consumption by senior stakeholders within the bank. Knowledge, Skills and Experience: * 3+ years of experience in the BFSI sector with understanding of risk management and risk quantification processes * Master’s (or Bachelor’s with at least 2 extra years of experience) in Statistics, Mathematics, Operations Research, Engineering or related fields * Knowledge of different types of risks such as Credit, Market, Operational etc. * Understanding of model development and validation processes * Strong quantitative skills * Strong written and communication skills * Hands-on experience of working on SAS, Python, R from model development/validation perspective * Professional Qualifications such as FRM is a plus * Sound knowledge of Microsoft Office tools such as Excel, Power point, Word * Team player, self-starter, innovative and highly motivated.