Organization Unit Purpose
Group Model Validation (GMV) plays the role of central model risk management within Group Risk. It is an independent team that sets out overarching model risk management policy at Group level and performs the roles of model governance and model validation for different types of models. The unit has the mandate from the Board Risk Committee (BRC) for model risk management across the Group. And the operations and deliverables are regulated by the central bank of the UAE (CBUAE) and audited by ENBD Group's financial auditors.
The Unit is part of Group Capital and Portfolio Analytics (GCPA) in Group Risk. GCPA leads the Group in providing technical and thought leadership in the areas of risk analytics, the Internal Capital Adequacy Assessment Process (ICAAP) and model management for the Group in line with international practices. GCPA provides a strong support function within the Group and raises the profile of the Group capabilities with external stakeholders such as Central Banks, rating agencies and peer or working groups globally. The Unit is an area of center for excellence in advanced analytics and the leadership in application of Straight Through Processing (STP) methodologies.
Job Purpose
The senior manager role is created in GMV to strengthen its capacity to manage the model risk embedded in traded risk models. The candidate of the role is required to perform end-to-end model validation on market risk and counterparty credit risk (MR&CCR) models and support the relevant operations in model governance process. The main duties of the role are:
Perform vendor or in-house built model validation
- Based on model validation standards to conduct independent validation by assessing integrity of data, soundness of methodology and level of model performance and accuracy of computation
- Setup project working group and communicate with relevant stakeholders, discuss validation issues and explore remediation plan
- Create model validation report, and work with team heads to conclude final validation outcome whether the model is fit for purpose
Oversee and manage external model validation project
- Support the team head during the RFP process to provide business requirements and select vendor
- Closely collaborate with the vendor to onboard external validators
- Supervise validators to perform model validation in line with ENBD policies and process
- Setup working group meetings to discuss validation issues and remediation plans
- Support the external validator to finalize validation report and discuss with team head to conclude validation outcome
Closely work with team head to
- Develop and maintain technical standards for model validation
- Prepare materials to be submitted to model oversight committee or other internal / external forum
Closely work with model governance unit to
- Maintain and regularly update model inventory
- Track model validation issue in MRM system and evaluate the appropriateness of the resolution submitted by model owner / developer
The job holder is required to be technically strong in terms of model development / validation techniques and be familiar with regulations associated with models. The scope of the validation covers wider ranges of products and associated risk measurement as well as system implementation.
- Financial market product valuation
- Market data integrity
- Market risk measurement Sensitivities, VaR (LVaR, SVaR etc.), Stress and Back Testing
- Counterparty credit risk PFE, EPE, CVA, DVA, FVA etc.
- International and local regulatory capital framework
- System implementation
It is also expected the job holder is familiar with market risk / Finance system (Bloomberg / Calypso /Murex) in order to extract data and perform detailed independent validation. The job holder is expected to work very closely with key stakeholders such as front office, market risk and counterparty risk department, Group IT and external vendor (when applicable) to ensure that the requirements stipulated in regulations and internal policies are properly satisfied.
Job Content
Model Validation
- Independently lead and / or perform detailed end-to-end model validation
- Collaborate with model owner / developer and other stakeholders to drive validation process
- Raise model validation issues and articulate it in working group or committees
- Agree resolution plans with model owner / developer and track its status
- Create model validation report and review / sign off the report delivered by vendor
- Support the submission of validation report to model oversight committee
Model Validation Standards for MR&CCR Models
- Develop validation methodology and technical standards and maintain it in the Group Model Validation Standards
Model Governance
- Ensure the integrity of model inventory in the MRM system
- Track validation issue in the MRM system and evaluate the resolution plan
Education
- Msc or PhD in quantitative finance, mathematics, statistics, physics or engineering from recognized university
- Certificate of Quantitative Finance
Experiences
- Model development / validation / implementation models in banks from advanced jurisdictions (>10)
- Market and / or counterparty credit risk modelling experience (>8)
- Strong experience of working in trading floor environment and having dealt with trading, sales, structuring and treasury function (>5)
- Worked in a regulator capacity in a mature model jurisdiction
Knowledge
- Financial market product valuation
- Market data integrity
- Market risk measurement Sensitivities, VaR (LVaR, SVaR etc.), Stress and Back Testing
- Counterparty credit risk PFE, EPE, CVA, DVA, FVA etc.
- International and local regulatory capital framework
- System implementation in Calypso or Murex
- Bloomberg
Skills
- Excellent math/stats skills in calculus, stochastic calculus, linear algebra, numerical methods, and probability theory
- Strong programming skills in Python or VBA
- Basic project management
- Basic stakeholder management
Behavioral Competencies
- High integrity and moral standards
- Team work
- Consistency and reliability
