Job Title- Manager, Model Monitoring
Organization Unit- Manager, Model Monitoring
Job Accountability-
The purpose of Group Risk models & Analytics (GRMA) unit is to ensure sound risk management practices in the organization and meet regulatory requirements. The unit has several deliverables that include Basel Il compliance, central bank Reporting, IFRS9 loss provisioning, internal ratings and embedding them in business processes, AML & compliance, operational loss reporting, risk reviews, etc.
The Group Model Monitoring team, reporting to the Head of GRMA, and working independently of the Group Model Development (GMD)team, is responsible for providing GMD and other teams with a process of continuous and frequent monitoring of the models' performance and stability, not only from the point of view of satisfying regulatory requirements to ensure credit risk models are performing as they should be but also as a mechanism to control the appropriate model usage, early escalating and resolving model issues and finally enhancing risk assessment and understanding of the models.
Core Responsibilities 1. Monitoring (even approved and in use or under development to be implemented):
Retail application, behavior, collection and recovery scorecards, Wholesale (large/Mid Corporate, Sovereign, SME, etc) rating models.
- Basel Il Models - PD, EAD and LGD IFRS9 Models - Expected Loss, Long term and PIT PD
Keep the monitoring Schedule updated incorporating new models to be monitored with clear timelines for sharing and publishing results. Obtain analysis and data from several sources, link and analyze the information, perform data integrity checks and conduct analysis.
- Perform model monitoring according to monitoring guidelines and share result to appropriate stakeholders. Build and maintain adequate infrastructure (SAS codes, databases and other tools) required to meet monitoring and audit needs.
2. Project management
- Set Stablish and deliver on multiple priorities in a timely manner.
3. Ongoing interaction with internal clients
- Communicate with development teams to share monitoring results, identified shortcomings, shifts in population, discrimination and calibration, as well as suggested enhancements to credit risk measurements through scorecards and models.
- Co-ordinate with internal customers on necessary requirements, including SAS codes for creation of data base, scoring, default tagging. Get from model development specific information regarding delivered models, such as benchmarks for monitoring and development period, OOT validation period etc.
4. Organization Chart (Attach the unit's organization chart showing the reporting relationships (above and below) the job holder)
5. Internal I External Relationships and Committee Memberships ( Internal relationships cover other units within the
6. Problems & Decisions (State problems solved and decisions made on a regular basis by the job holder and the desired outcomes of actions)
Scorecards/ Model Non- performing
- Identify non performing models and prioritize the respective model in the monitoring schedule. Propose remedial action or the best course of action based on the monitoring output.
- Maintain all the process and reports documented on the shared folders for consultancy.
Minimum Qualifications
Bachelor or Master Degree in Statistics, Math's, Physics or related areas
EXPERIENCE At least 6 years of previous experiences in risk management areas in global banks.
Technical Competencies Models monitoring for Retail and Wholesale portfolios, applications, behaviors, collections, recoveries and other scorecards, Basel Il IRB approach for credit risk IFRS9.
Understanding of retail and corporate loans portfolio modelling, Internal Rating Model Development - PD, EAD, LGD, Basel Il IRB approach for Credit Risk, IFRS 9, stress testing and regulatory reporting requirements, CBUAE's banking regulations and international Stress Testing Frameworks, able to handle macroeconomic time series data and sources. Knowledge of IFRS 9 impairment testing norms would be highly desirable.
SAS, Excel, SQL, Stats and Math's.
