Description
Job DescriptionOrganization Unit PurposeMarket & 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 PurposeThe role is a pure quant role requiring strong quantitative experience in model development. This role is a senior quant role 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 quantitative 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 sufficiencyMarket Risk – Sensitivities, VaR, Stress Testing, Back Testing, RNIVCounterparty Credit Risk – PFE, , EPE, ENE, XVA, WWR, Haircuts/Margining, SIMM, Stress Testing, Back TestingModel calibration and performance monitoringMarket & Counterparty Credit Risk Regulatory CapitalStress testing analysisSystem change initiativesDocumentation including methodological notes, presentations and policiesRegulatory Requirements: MMS, MMG and other regulatory requirementsIRRBB/behavioral models: NMD, Prepayment and early termination, basis risk, EVE/NIIThe role includes providing advice and guidance on methodologies, quantitative models, policies, strategies, and actions necessary for effective quantification and management of quantitative risk, while ensuring proper controls and governance processes are maintained. The job holder will be responsible for maintaining models, performing back-testing, calibrating as needed, engaging with model users and validators (both internal and external), regulators, and internal stakeholders, and fulfilling the model challenge process.This role demands a high level of 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 ContentMarket Risk Measurement Framework for Trading Book: Ensure Market Risk Measurement Framework for Trading Activities is well defined and consists of robust and best in class risk measurement methodologies.Replicate, develop and document quantitative models pertaining to Market Risk Measurement Methodology Framework for all trading activities conducted by the Group.Provide active oversight on effective application of the measurement framework for the trading book.Ensure that the measurement framework covers all key market risk aspects and is in compliance with and adhere to all local and other relevant regulations and standards in which the Group operates in.Ensure that the measurement framework is appropriate and effective in identifying and measurement of market risk exposures generated by the business and/or asset class that the Group transacts in.Counterparty Credit Measurement Framework:Ensure Counterparty Credit Risk Measurement Framework well defined and consists of robust and best in class risk measurement methodologies.Replicate, develop and document quantitative models pertaining to Valuation, Counterparty Risk measurementProvide oversight on effective application of Treasury Credit Risk Measurement Methodology Framework across all products/ asset classes and business within Group Treasury.Ensure that the methodology framework is appropriate and effective in identifying and measurement of counterparty credit risk exposures generated by the business and/ or asset class that the Group transacts in.Ensure appropriateness and effectiveness of methodology framework and underlying models/ parameters to the business and/or asset class.Ensure the methodology framework covers all key credit risk aspects and is in compliance with and adhere to local and other relevant regulation and standards in which the Group operates in.Provide support to MTCR team in periodic methodology and/ or parameters updates and its effectiveness. Also, provide adequate impact analysis and other relevant analysis to all stakeholders for concurrence prior to any significant changes to methodology and/ or parameters.Assist with ad hoc trade and portfolio level analysis.Valuation and pricing models:Ensure valuation models are documented, validated and aligned with market practices and regulatory requirementsReplicate, develop and document pricing models documentation and validation: assumptions review, calibration and methodology, replication and challenger models, alignment with regulatory requirements and internal policiesEnsure models are based on quantitative, mathematical, financial, economic, or statistical theories that are widely accepted, relevant to valuation environment, and appropriately appliedEnsure periodic monitoring of models is conducted as per the frequency prescribed by Banks internal polices and applicable regulatory guidelinesEvaluate current model limitations and introduce alternatives pricing models where appropriate.Market Risk Measurement Framework for Banking Book:Ensure Market Risk Measurement Framework for Banking Book Activities is well defined and consists of robust and best in class risk measurement methodologies.Assist in development/ enhancement, implementation and review of Liquidity and IRRBB Risk methodology framework, including risk assessment, metrics, ratios, assumptions, procedures and methodologyEnsure that the Liquidity and IRRBB Risk methodology framework covers all key market risk aspects and is in compliance with and adhere to all local and other relevant regulations and standards in which the Group operates in.Provide active oversight on effective application of the Liquidity and IRRBB Risk methodology framework across the Group.Ensure that the Liquidity and IRRBB Risk methodology framework is appropriate and effective in identifying and measurement of Liquidity and Price risk exposures generated by the business and/or asset class that the Group transacts in.Periodically review and monitor the liquidity and price risk assumptions are appropriate to the market and business operating environment.Model Review and monitoring:Ongoing monitoring and review of models Market Risk exposures and Treasury Credit Risk models.Market Risk System, Data and Process InfrastructureAssist in Implementation and/or facilitate implementation of systems for Market Risk, Traded Credit Risk, Liquidity Risk, IRRBB, Treasury or other businesses across the Group, as required.Advice / Support on quantitative and methodology matters: Provide specialist support or advice to the MTCR management quantitative and methodology matters for improving the risk assessment and quantification.Personal / Staff Development:Identify areas of development and take necessary actions in order to enhance expertise and contributionEducationMasters/Advanced quantitative degree (Finance, Mathematics, Economics, Statistics, Physics, Engineering or a related quantitative field of study)Chartered Financial Analyst (CFA)Financial Risk Manager (FRM)ExperiencesAt least 8-11 years of relevant experience in large international banking organizationsStrong experience and knowledge in VaR/SVaR, Sensitivities, pricing models, PFE/XVA and IRRBB modelsProven leadership in managing and quantitative modelsStrong experience of working in a fast paced trading floor environment and having dealt with Trading, Sales, Structuring, Risk and Credit functionsStrong change implementation experienceKnowledge & SkillsExpert knowledge of complex derivative structures pricing and risk measurementPresent ideas and achieve consensusWorked in diverse, cross cultural teamsBehavioral CompetenciesShould be pragmatic, innovative and quick learnerTeam player and ability to work in multi-cultural environmentStrong communication and public speaking skills