- Manage, enhance and implement bank wide IFRS 9 Impairment models and assess Risk appetite for retail portfolio across UAE and International Banking Regions
- Manage ICAAP and Stress testing for retail portfolio including macroeconomic model development and loss forecasting
- Review and create credit risk / financial models where applicable along with providing recommendation for remedial actions
- Interface with regulators and auditors in the areas of IFRS 9 impairment, Basel Pillar 1 and Pillar 2
- Develop and monitor Credit Risk Scorecards for retail assets
- Provide risk inputs for RARORC and Risk Appetite along with support towards reconciliation and controls
- Train resources, both direct report and extended team, to build strong risk professionals within the uni
- Develop, enhance and maintain IFRS 9 and Basel models, governance framework and model risk management framework for entire retail portfolio including UAE & IBG regions
- Drive Expected Credit Loss (ECL) computation that is necessary for the impairment reporting of assets classified as amortized cost and fair value through other comprehensive income
- As part of migration to big data / cloud, liaise with IT and respective parties to source and determine the data for impairment
- Analyze data and perform back-testing/stress-testing of the IFRS 9 models to measure the model performance
- Identify the model risk and provide solution and recommendations to the stakeholders; influence stakeholders to close the gaps in the recommendation
- Perform risk analysis and risk identification of all processes conducted in the IFRS 9 ECL computation according to guidelines under the Bank-wide Risk Framework
- On an ongoing basis, optimize each component of ECL along with enhancement of SAS based ECL solution; Build capabilities within the engine to quantify impact on ECL from individual component
- Define new controls and key control indicators of relevant processes and remedial actions in case of ineffectiveness of existing controls
- Prepare IFRS 9 model validation report for submissions to model risk oversight and relevant committees along with monitoring all outstanding matters in the validation
- Extensive coordination and communication with all parties involved
- Develop credit risk models from a quantitative perspective viz., acquisition, behavior, customer level scorecards, maintenance of credit scoring models/assessment tools, strategies and capital estimate modeling of PD, LGD and EAD that apply to retail portfolios across life cycle
- Validate and if required, refine existing models for Retail Products based on the validation results
- Macroeconomic models based on time-series forecasting to assess and quantify the impact of exogenous components on portfolio losses
- ICAAP methodology development / enhancement in line with Mashreq policy to estimate risk metrics based on baseline and stress scenarios for forecasted time-periods
- Stress testing including model development / enhancement of retail portfolio adhering to CB UAE guideline estimating risk metrics based on baseline and stress scenario
- Detailed documentation of projection methodology including macroeconomic models, validation report, impairment and RWA computation in forecasted time-period
- Ensure timely and accurate submission of regulatory disclosure reports in the areas of Basel Pillar 1, Pillar 2, IFRS9 ECL, Additional disclosures associated to impact on impairment from payment holiday program
- Cater to CB UAE requirements as part of either existing report enhancement or new report creation and submission
- Deliver on Bank's objective towards advanced analytics in the areas of credit risk management through modeling methodology and information presentation
- Provide support to Impairment forum, ICAAP discussions, Stress testing committees and relevant meetings coordinating agenda, presentation packs and preparation of minutes
- Manage interface with regulators, external and internal auditors in relation to models, methodology and validation where necessary
- Coordinate submission of documents towards Internal Audit and External Audit; ensure timely closure of any action plan issued during discussion
- Coordinate and provide methodology walk-throughs, requisite inputs and documented assumptions to regulators during Risk Based Supervision (RBS) conducted by CB UAE; ensure timely closure of any deviation and implement adequate controls
- Support ongoing audit with external auditors across regions UAE, Egypt, Qatar, Bahrain and Kuwait in the area of impairment models and ECL computation methodology; ensure that observations are addressed on priority adhering to regional guidelines
- Support ICAAP annual audit as part of CB UAE minimum requirements covering Pillar 1 and Pillar 2; ensure compliance with Basel standards, ICAAP guidance and IFRS 9 impairment guidelines
- Perform maintenance and changes of policies and documentation
- People and performance management of direct report
- Set, establish, and deliver on multiple priorities in a timely manner
- Develop training materials, Conduct training sessions for business where applicable
- Contribution to the formulation of a successful growing team
- Perform other duties as assigned
Knowledge, Skills and Experience
Overall 8+ years of experience in credit risk management in the areas of risk modeling, regulatory reporting, impairment computation including disclosure reporting and advanced analytics 5 years hands on experience in model building methodologies related to impairment estimation, implementation and compliance Experience in development, implementation and monitoring of credit risk scorecards Strong understanding of IFRS 9 standards driving Expected Credit loss computational activities and impairment measurement in Financial Reporting Experience in macroeconomic model development based on time-series forecasting and conducting detailed validation & diagnostics Macroeconomic scenario analysis and working knowledge of estimating risk metrics based on baseline and adverse outlook Working knowledge of ICAAP and Stress testing for retail / wholesale portfolios Experience/ understanding of process mapping, governance activities, writing of policies and committee management in a Risk function of a financial institution Focused and organized, with ability to prioritize and deliver effectively under strict timelines Strong inter-personal and communication skills to work effectively with stakeholders from different functions; comfortable in building relationships at various levels and across geographies Expert knowledge of Basel norms and modeling techniques Degree in Quantitative / Statistics / Actuarial Science / Mathematics (Finance exposure would be a plus); Strong analytical, numerical, research and problem-solving skills Have programming experience in SAS, Oracle, Python/R, Microsoft and web-based systems Experience in developing dashboards using tools such as Power BI Ability to present technical concepts for business understanding Self-motivated person with a high level of drive, dedication and desire to excel consistently 
