Hiring Company
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First Abu Dhabi Bank
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Vacant Post
|
Risk Manager (1 Positions)
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Post Date
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18-January-2019
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Last Date
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05-Febraury-2019
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Location:
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United Arab Emirates (Abu Dubai) |
Job Type
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Private Jobs
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Salary & Benefits
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Salary depends on Talent
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Apply Method
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Apply Online: -
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Description of Job
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· Perform an independent model
validation by assessing the model assumptions, model implementation and by
implementing independent tests.
· Recommend appropriate model
reserves that would mitigate model limitations / assumptions, used for
pricing
· Carry out an independent detailed
validation of existing Market Risk Models used for VaR, ES and risk
monitoring in the following asset classes: IR, FX, Equity, Commodity and
Credit.
· Perform full model validation not
limited to P&L, but include the impacts on the Value-at-Risk, the
Pre-Settlement Risk, the counterparty valuation adjustment and the regulatory
reports such as Capital and Stress testing
· Develop and implement independent
models to benchmark production models.
·
Document the performed analysis,
testing and finding
· Circulate the corresponding
reports to model Users and the relevant stakeholders
· Monitor the valuation
methodologies, and specify the internal valuation methodologies
· Approve the market data used for
valuation and for risk systems
· Develop model risk analysis
tools, such as back testing tools, to support ongoing model validation.
· Take final outputs to the
committes for ratification
Minimum
Qualification:
·
A higher academic qualification
in quantitative area (Master, Ph.D.) e.g. mathematical finance, econometrics,
physics
·
Strong knowledge in pricing
models, pricing theory, curve construction and/or CVA, exposure models
·
Good knowledge of the asset
classes (FI, FX, commodities, equities, hybrid derivatives)
·
Strong knowledge in Mathematics,
Statistics, Stochastic calculation and Numerical analysis
Minimum Experience:
· Work experience of 4-7 years in
model validation or in quantitative area in Financial Markets / Market Risk
with reputable Banks
· Ability to work accurately under
pressure to tight deadlines.
·
Experience Market Risk / Trading
systems including Bloomberg, Reuters, Murex or similar
·
Strong communication,
presentation and writing skills
·
Knowledge of Arabic is desirable,
but not essential
·
Knowledge of Murex, Numerix
and/or coding skills in C++/Matlab would be a distinct advantage.
|
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