Head of Financial Models

at  Butler Rose Middle East

Posted by
Mark Hibbs
International Recruiter & Executive Search
Head of Financial Models - developing Wholesale, Retail & credit risk Models to support regulatory capital calculations under IFRS 9. Expertise with IFRS 9 / ICAAP / ECL frameworks and IRRB treasury models.
Seeking an experienced professional to lead the Financial Models team within the Enterprise Risk Management department of a leading bank in the UAE. This role involves managing risk analytics work streams for Wholesale/Retail and Treasury Risk models, therefore advanced technical, analytical, and statistical skills are a must for this role.

• Develop and monitor Wholesale/Retail credit risk models to assess ongoing credit risk and support regulatory capital calculations under IFRS 9 and Expected Credit Loss (ECL) frameworks.
• Contribute to the development of acceptance and behavioural scorecards and internal credit rating systems for Wholesale/Retail Credit Risk.
• Recommend model enhancements, including the development of statistical & analytical approaches that will improve quality & accuracy (credit risk ratings, loss estimates, risk-weighted assets, stress testing, regulatory capital & ICAAP requirements).
• Calibrate Through-The-Cycle and Point-In-Time default models.
• Interpret internal governance policies and Central Bank regulations related to Model Risk.
• Develop and monitor Treasury Models such as IRRBB, VaR, XVA, and PFE.
• Maintain comprehensive model documentation including standard operating procedures, manuals, and policies.
  The role covers portfolios across Personal Banking, Institutional Banking, Corporate Non-Product Programme, SME Lending, and Treasury.
  Due to constantly changing market & economic conditions and competitive pressures, continuous review and strategic input into the bank’s risk and treasury models are critical.