Senior Quant Model Development

This role is a senior quantitative model development role responsible for enhancing and developing internal capabilities in the Group MTCR function based in ENBD Head Office in Dubai, UAE.

Organization Unit Purpose

Market & Treasury Credit Risk (MTCR) is a Group Risk function, independent of all business units. The unit focuses on identification, measurement, monitoring, reporting and overall management of market & counterparty credit risk. The unit has direct ownership and responsibility for ENBD UAE and its international branches in Singapore, London, Mumbai and KSA. Additionally the unit provides governance oversight, assistance and consultation for market and counterparty credit risk matters to risk and business stakeholders at group subsidiary entities namely Emirates Islamic, ENBD Egypt and DenizBank.

Job Purpose

This role is responsible for enhancing and developing internal quant capabilities in treasury methodology, measurement, quantitative analysis, stress testing, back testing, model calibration, and model development.

The position focuses on supporting the Global Market & Treasury business by ensuring robust practices and expertise in these key areas. The successful candidate will be part of the Group MTCR function based in ENBD Head Office in Dubai, UAE.

The model development and quantitative analysis scope extends to broadly cover the following aspects:

• Financial market product valuation using standard pricing frameworks (SDEs, local & stochastic vol, etc.)
• Market data appropriateness and sufficiency
• IRRBB/behavioral models: NMD, Prepayment and early termination, basis risk, EVE/NII
• Market Risk model development, including – Sensitivities, VaR, Stress Testing, Back Testing, RNIV
• Counterparty Credit Risk model development, including – PFE, XVA, WWR, SIMM, Stress Testing, Back Testing
• Model calibration and performance monitoring
• Market & Counterparty Credit Risk Regulatory Capital
• Portfolio Stress testing
• System change initiatives
• Documentation including methodological notes, presentations and policies
• Regulatory Requirements: MMS, MMG and other regulatory requirements

The job holder will be responsible for developing and maintaining risk quantitative models, and engaging with model users and validators (both internal and external), regulators, and other internal stakeholders.

This role demands a high level of quantitative modelling experience, business awareness, leadership capabilities, control and good governance framework, a keen eye for detail, good communication skills, technical documentation writing skills and an advanced degree qualification in a related area.

Job Content

Interest Rate Risk in the Banking Book

1. Development of behavioral models for interest rate risk in the banking book (including but not limited to NMD, Pre payment risk, Basis Risk, Early Termination)
2. Ensure compliance with local regulations, internal standards and global best practices
3. Ad-hoc trade and portfolio analysis
4. Ongoing model monitoring and periodic model updates

Market Risk Measurement:

1. Development of models for market risk measurement including but not limited to:

• Risk sensitivities and greeks
• Value-at-Risk
• Risks not in VaR (RNiV)
• Backtesting
• Stress Testing

1. Ensure compliance with local regulations, internal standards and global best practices
2. Ad-hoc trade and portfolio analysis
3. Ongoing model monitoring and periodic model updates

Counterparty Credit Measurement:

1. Development of models for counterparty credit risk measurement including but not limited to:

• XVA and Derivatives pricing
• PFE, Monte carlo simulations
• SDE models, IM and VM, Haircuts
• Specific and General Wrong Way Risk
• SIMM

1. Ensure compliance with local regulations, internal standards and global best practices
2. Ad-hoc trade and portfolio analysis
3. Ongoing model monitoring and periodic model updates

Model Review and monitoring:

Ongoing monitoring and review of models.

• Work with Group model validation, internal audit and Central Bank to respond to and remediate findings impacting models - Coordinate action plans and ensure prompt execution
• Highlight to senior management with MTCR, Finance and Treasury of any breach of assumptions and/ or approximations; provide mitigating actions, scenarios for rectification and/ or additional validation tasks, if deemed necessary.
• Periodically review the quantitative models and monitor the inputs, assumptions, and/ or parameters to the models and ensure they remain appropriate to the market and business operating environment.
• Ensure models are based on quantitative, mathematical, financial, economic, and statistical theories that are widely accepted, identify conceptual soundness of the models, risks not captured by models and model limitations, if any.
• Perform periodic back testing of the all models to ensure that their inputs, their outputs and/ or their parameters still relevant market and business operating environment.
• Record weaknesses identified in the models, their inputs, their outputs and/ or their parameters; and thereafter suggesting imposition of conditions, mitigating actions, scenarios for rectification and/ or additional validation tasks, if deemed necessary.
• Define and conduct stress tests and reverse stress tests where warranted across Market Risk, Counterparty Credit Risk, and/ or IRRBB exposures

Market Risk System, Data and Process Infrastructure

Assist in Implementation and/or facilitate implementation of systems for Market Risk, Traded Credit Risk, IRRBB, Treasury or other businesses across the Group, as required.

• Participate in design, testing and implementation of systems and/ or enhancements related to Market Risk, Counterparty Credit Risk, and/ or IRRBB models
• Support project initiatives to meet any new/ upcoming regulatory requirements and new business initiatives.
• Participate in Project Working Groups and other forums as called for as a key stakeholder and to oversee the progress of implementation.

Personal / Staff Development:

Identify areas of development and take necessary actions in order to enhance expertise and contribution

• Self-review and identify areas of development.
• Training relevant junior staff on model development
• Ensure strong ongoing engagement with key stakeholders across the various business units, risk units and other support/ oversight units.

Education

• Masters /Advanced quantitative degree (Finance, Mathematics, Economics, Statistics, Physics, Engineering or a related quantitative field of study)
• Chartered Financial Analyst (CFA)
• Financial Risk Manager (FRM)

Experiences

• At least 8-11 years of relevant experience
• Strong experience and knowledge in model development

Behavioral and IT Competencies

• Should be pragmatic, innovative and quick learner
• Team player and ability to work in multi-cultural environment
• Strong communication and public speaking skills
• Python skills