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.
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
|Job Location:||Abu Dhabi, United Arab Emirates|
|Job Role:||Finance and Investment|
|Career Level:||Mid Career|