Company Description
At RAKBANK, we are committed to nurturing a culture of innovation, growth, and excellence. We go beyond being a bank – we are a thriving community fueled by teamwork, advanced solutions, and unwavering standards of governance.
Job Description
As a VP-Risk Analytics, you will support the development, enhancement, and implementation of a suite of model’s methodologies (e.g., stress testing, IFRS9, capital) and scorecards for the wholesale portfolio.
What you will do:
Model development, monitoring, and implementation:
- Lead the performance, the maintenance and enhancement of wholesale risk models across life cycle of various portfolios (IFRS9 models, PD, LGD, EAD, stress testing).
- Ensure the model remain accurate, reliable, and compliant with regulatory requirements.
- Constantly realigns models to monitor performance with the aim to provide on-going guidance on all lending activities for the wholesale portfolios.
- Review Bank’s wholesale risk and identify opportunities to improve models and processes, make recommendation to senior management for model change / enhancements and implement cutting edge techniques to maximize value and develop best in class decision tools.
- Oversees accurate implementation of model and support their use, interpretation, and monitoring.
- Develop and maintain a model inventory and ensure the inventory is complete, accurate, and consistent with the model governance policy.
- Support and work closely with ERM team for stress testing and ICAAP submissions.
- Stay up to date with changes in IFRS 9 standards and requirements and implementing changes to the models and methodologies as necessary.
Team management:
- Manage a team of model developers to ensure that the team's work meets the highest standards of accuracy, timeliness, and quality.
Stakeholder management:
- Assist the business, risk, finance, audit departments in model related queries and provide with necessary information and analysis.
- Work closely with all stakeholders to assist in ECL calculation and validation of IFRS9 reporting.
- Support model validation team for model amendments, validation, and verification.
- Liaise with business functions, credit approval, collections, and other related functions to drive use, monitor overrides, analyze new requirements and feedback on existing models.
Core Responsibilities
- Critically examine the databases for risk modeling, develop them further and ensure their quality assurance.
- Develop wholesale models according to external guidance and standards requirements, monitor and recalibrate until everything fits.
- Support the implementation of the models.
- Identify process changes that have an impact on the credit risk models and provide expert support for their implementation.
- Respond in a timely manner to internal audit and external regulator queries.
Qualifications
What you will bring:
Degree in a relevant field.
Analytical & technical skills:
- Strong experience in statistical models’ development, monitoring, validation of IFRS9/AIRB models and relevant regulations (IFRS9, CRR, local regulator, etc.)
- Strong analytical and conceptual skills with a good understanding of time series analysis.
- At least 10 years of extensive experience in first-hand practical experience model development at a financial institution.
- Academic degree in quantitative field (econometrics, mathematics, statistics, computer science).
- Knowledge of risk modelling regulations such as Basel, IFRS9 & MMSG regulations
- Proficiency in programming languages like SAS, Python, or equivalent analysis software.
- Preferrable but not essential:
o Knowledge in advanced machine learning techniques and
o Industry certifications (FRM/PRM/CFA/CQF).
- Previous experience in leading and managing risk units/teams.
- Strong stakeholder management skills allowing to pull together the efforts of several functions, as well as making sure the business objectives of the bank are met.