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 including model validation and related activities. The role involves working on PD, EAD, LGD, Stress Test, Macro-economic models from a Credit Risk Perspective and VaR/PSRE/CVA/FRTB (and related) models from Market Risk area. The candidate is also expected to work on IFRS9 model validation

Key Result Areas

• Maintain the Model Inventory and assist in regular reporting of model risk using the model risk classification criteria
• Perform Model Validation, Recalibration and back testing of models from Wholesale Credit Risk, Retail Credit Risk and Market Risk departments
• Review model validation reports published by external vendors to ensure compliance to Model Risk Management policy
• Assisting the department lead in liaising with external vendors for Model Validation and model management activities
• Review adherence to model validation standards for each model listed in the model inventory
• Develop reports for all model validation and recalibration activities
• Active participation in activities related to Model Governance Committee
• Assist the department lead in maintaining vendor relations including preparing RFPs

Knowledge, Skills and Experience

• 0-5 years of experience in the BFSI sector with understanding of risk management and risk quantification processes
• Master’s or bachelor’s with a few 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.

Job Type: Full-time

Pay: Rs180,000.00 - Rs280,000.00 per month

Work Location: Remote