Lead- Model Developer (Wholesale Risk)

Job Description

Job Purpose Wholesale Risk Model Development Key result Areas Technical & Delivery Responsibilities Support the data preparation and model development, validation, and lifecycle management of Wholesale Rating Models Support model development and validation including: Corporate/Wholesale Rating Models including Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending Explore new approaches for rating model development for low default portfolios Master Rating Scale (MRS) calibration Wholesale Model Monitoring Outline the goals of model monitoring, considering factors like accuracy and other relevant metrics based on the model purpose Determine the expected performance of the respective models on historical data Implement monitoring tools to continuously assess model performance. This includes monitoring input data quality, predictions Communicate the model performance to relevant stakeholders to ensure the prompt attention to potential problems. Regularly review and improve the model performance process based on the feedback, change in underlying data and evolving business requirement. Data Management Lead end-to-end data lifecycle management for model development, including sourcing, profiling, transformation, and documentation. Identify data requirements for model development. Coordinate with IT and data engineering teams to streamline data pipelines required for model development Knowledge, Skills and Experience Strong foundation in Statistics and Mathematics. At least 4-5 years of banking experience, out of which 1-2 years are spent in related areas Strong analytical skills and knowledge on Financial Risk Management At least 2-3 years of banking experience in related areas Excellent computer skills (especially R, Python, SAS, Excel, Visual Basic, SQL & Oracle) Postgraduate or professional qualification in risk management or finance such as CFA, FRM, PRM. Experience of developing teams in a multi-jurisdictional and matrixed organization. Understanding and experience of BCBS frameworks, CBUAE regulations relating to model management standards.