Job Position: Vice President – Model Validation
Job Description: First Abu Dhabi Bank FAB – Abu Dhabi – JOB SUMMARY: 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. MAIN DUTIES: 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 Skills Ph.D or Master degree in a quantitative discipline (e.g. financial mathematics, physics). 5 – 10 years of Total banking experience, with a minimum of 5 years specific experience as a quantitative risk analyst in a tier 1 financial institutions. Knowledge of financial markets, financial mathematics, industry best practice risk modelling methodologies, knowledge of financial products Pricing models and a basic knowledge of stochastic calculus, statistics and numerical resolution methods. Experience in quants with financial…see more details
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