مطلوب رئيس تحليلات مخاطر ائتمان لدى ADIB – مصرف أبو ظبي الإسلامي في أبو ظبي ، الإمارات
Head of Retail Credit Risk Analytics
Location : Abu DhabiRole Purpose:
This is a very senior role and of strategic importance within Group Risk Management which will have a direct impact on the strategy and cost of credit for the Retail Banking Group. Retail banking assets constitute more than 60% of the Bank’s financing assets. The role will also act as backup of Head of Wholesale Analytics and provide expert input into the Wholesale Banking Rating model development.
The impact of this role on the retail banking business would be direct and significant as the incumbent is required to develop and maintain application and behaviour scorecards and profitability models. The incumbent is expected to perform advance analytics on the portfolio and continuously advise the Risk and Business heads on emerging trends. The role requires independent thinking, strong communication, initiative, interaction with all stakeholders within the bank. The role is intended to provide advanced quantitative analytics support to the Bank. The candidate will have specialized exposure and capacity to deliver end-to-end risk analytics framework, functional / operational capacity. Main responsibilities include:
- Define, develop and implement a Retail Credit Analytics function that contributes to the overall Risk Management framework of the group.
- Quantitative analysis & modelling: Take a lead role in developing Retail Application, Behaviour scorecards and LGD models and participate in development of Wholesale Banking rating models. Build capabilities, to incorporate AI/Machine Learning techniques and to use Alternative Data in model development/ credit decision models.
- In line with the requirements, participate in the deployment and integration of Retail Application and Behavioural scorecards in bank’s systems and processes.
- Provide guidance to IT and Digital initiatives for effective usage of the risk quantification tools to drive process efficiency.
- Develop methodologies to ensure effective monitoring of the models.
- Conduct regular validation, calibration and optimization of the deployed models and analytical support to the business.
- Perform monthly ECL/Provisioning calculation and report as per agreed timelines. Also develop IFRS based provision forecasting model for budgeting purpose.
- Perform ICAAP and Macro Stress Testing for the Retail Portfolios. Review and incorporate CBUAE guidelines related to methodologies and inputs required in consultation with the team ERM team working ICAAP and Macro Stress Testing.
- Support the development of risk models for both Economic Capital and Risk Capital calculation for retail products.
- Coordinate with other unit functions as well as other relevant departments to develop and implement risk policies and processes benchmarked with best industry practice and in line with the regulatory requirements, related to model governance.
- Support the department head and overall function in all Group Risk Projects, & Initiatives.
Key Accountabilities of the role
Customer (Internal & External):
- Provide timely and accurate information/documentation on risk methodologies used for retail portfolios to the Board and Senior Management as well as to the external and internal auditors and the Compliance function as and when required.
- Coordinate with stakeholders for model methodology review and approvals.
- Provide analytical support to the business.
- Coordinate with external vendors whenever required in relation to activities within scope.
- Assist in Cost-of-Credit budgeting exercise for retail products
Internal (Processes, Products, Regulatory):
- Review and propose necessary changes to the existing portfolio management techniques and procedures for the domestic and overseas business in light of changing market conditions based on regulatory recommendations/ other best practices to ensure that a sound environment for identifying, assessing, measuring, monitoring and controlling risk is in place.
- Ensure integration of scores in portfolio quality reports for retail banking portfolios for the relevant Board/management level committees.
- Ensure efficient functionality of the deployed models on the rating platform, and institutionalize the effective usage by conducting regular verification of inputs & outputs.
- Develop credit models as per requirement from the business keeping in view the dynamics of credit portfolios and the best risk management practices.
- Lead the development of risk models of IFRS9, EC and RC calculation, i.e., PD, LGD, EAD etc., among various asset classes and facility types, ensuring these risk measures comply with regulatory requirements through robust model validation.
- Address/ facilitate correction of any weaknesses identified during assessments, audits, or examinations by internal/ external audit staff, Group Compliance personnel, regulators examiners or Sharia’ auditors as applicable.
- Lead the development of modeling methodologies for portfolio management, covering the identification of concentration risk, portfolio rebalancing as well as the optimization of risk/return profile.
- Within the context of rigorous stress testing and scenario analysis, understand and advise the circumstances under which the bank’s profitability would be negatively impacted and provide the level of risk mitigation that is built in and the actions that would be taken in such circumstances.
- Conduct validation of the deployed models on a regular basis and produce reports with recommendations for the improvements to stakeholders.
- Create, maintain and update model / scorecard related documentation.
- Maintain historical datamart for retail products, with all the relevant parameter required for risk modeling, to bring efficiency and consistency in data preparation step of model development.
Learning & Knowledge:
- Develop and lead training programs for team members, stakeholders on different conceptual aspects of quantitative analytics
Education and Experience:
- 10 – 15 years in credit modeling, Basel II and IFRS 9 implementation in the banking sector.
- Master’s degree in quantitative/finance, professional engineering or any other related field.
- Professional Qualification such as FRM,PRM or CFA is highly desired.
- Excellent Portfolio Management & Credit Risk modelling, analytical, and research skills.
- Experience working with large and complex data sets, including alternative data (bureau, open banking etc.) for credit models.
- In-depth knowledge of financial markets and products and abreast with latest analytical techniques including Machine Learning algorithms such as Support Vector Machines, Random Forest and Gradient Boosting etc.
- Possess superior knowledge of credit risk management best practices including but not limited to pertinent Basel II, Basel III and IFRS 9 Framework on expected credit risk loss, credit risk management and capital adequacy requirements.
- Possess strong quantitative skills and solid experience in developing, validating and monitoring risk models. Knowledge of the credit scoring systems available in the market and their use.
- Good understanding of Basel II/III and IFRS 9 etc.
- Advanced user of statistical software (such a
s SAS or R or Python or FICO Model Builder)
- Should have strong knowledge of handling Risk Technologies & its implementation.
- Ability to work independently on multiple tasks and/or projects.
- Excellent oral and written communication skills in English.
- Proficiency in risk concepts, banking products/ operations/ systems, pertinent regulatory requirements,
- Flexible team player and able to work and deliver under pressure.
- Ability to inspire and motivate others to gain commitment.