Job description

Organization Unit Purpose

Market & Treasury Credit Risk (MTCR) is a Group Risk function, independent of all business units. The unit focuses on identification, measurement, monitoring, reporting and overall management of market & counterparty credit risk. The unit has direct ownership and responsibility for ENBD UAE and its international branches in Singapore, London, Mumbai and KSA. Additionally the unit provides governance oversight, assistance and consultation for market and counterparty credit risk matters to risk and business stakeholders at group subsidiary entities namely Emirates Islamic, ENBD Egypt and DenizBank.

Job Purpose

This role is responsible for enhancing and developing internal quant capabilities in treasury methodology, measurement, quantitative analysis, stress testing, back testing, model calibration, and model development. The position focuses on supporting the Global Market & Treasury business by ensuring robust practices and expertise in these key areas. The successful candidate will be part of the Group MTCR function based in ENBD Head Office in Dubai, UAE.

The model development and quantitative analysis scope extends to broadly cover the following aspects:

a)         Financial market product valuation using standard pricing frameworks (SDEs, local & stochastic vol, etc.)

b)         Market data appropriateness and sufficiency

c)         Market Risk – Sensitivities, VaR, Stress Testing, Back Testing, RNIV

d)         Counterparty Credit Risk – PFE, , EPE, ENE, XVA, WWR, Haircuts/Margining, SIMM, Stress Testing, Back Testing

e)         Model calibration and performance monitoring 

f)         Market & Counterparty Credit Risk Regulatory Capital 

g)         Stress testing analysis

h)         System change initiatives

i)          Documentation including methodological notes, presentations and policies

j)          Regulatory Requirements: MMS, MMG and other regulatory requirements

k)         IRRBB/behavioral models: NMD, Prepayment and early termination, basis risk, EVE/NII

The role includes providing advice and guidance on methodologies, quantitative models, policies, strategies, and actions necessary for effective quantification and management of quantitative risk, while ensuring proper controls and governance processes are maintained. The job holder will be responsible for maintaining models, performing back-testing, calibrating as needed, engaging with model users and validators (both internal and external), regulators, and internal stakeholders, and fulfilling the model challenge process.

This role demands a high level of business awareness, leadership capabilities, control and good governance framework, a keen eye for detail, good communication skills, technical documentation writing skills and an advanced degree qualification in a related area.

Job Content

Market Risk Measurement Framework for Trading Book: 

Ensure Market Risk Measurement Framework for Trading Activities is well defined and consists of robust and best in class risk measurement methodologies.

• Replicate, develop and document quantitative models pertaining to Market Risk Measurement Methodology Framework for all trading activities conducted by the Group.
• Provide active oversight on effective application of the measurement framework for the trading book. 
• Ensure that the measurement framework covers all key market risk aspects and is in compliance with and adhere to all local and other relevant regulations and standards in which the Group operates in.
• Ensure that the measurement framework is appropriate and effective in identifying and measurement of market risk exposures generated by the business and/or asset class that the Group transacts in.

Counterparty Credit Measurement Framework:

Ensure Counterparty Credit Risk Measurement Framework well defined and consists of robust and best in class risk measurement methodologies.

• Replicate, develop and document quantitative models pertaining to Valuation, Counterparty Risk measurement
• Provide oversight on effective application of Treasury Credit Risk Measurement Methodology Framework across all products/ asset classes and business within Group Treasury. 
• Ensure that the methodology framework is appropriate and effective in identifying and measurement of counterparty credit risk exposures generated by the business and/ or asset class that the Group transacts in.
• Ensure appropriateness and effectiveness of methodology framework and underlying models/ parameters to the business and/or asset class.
• Ensure the methodology framework covers all key credit risk aspects and is in compliance with and adhere to local and other relevant regulation and standards in which the Group operates in. 
• Provide support to MTCR team in periodic methodology and/ or parameters updates and its effectiveness. Also, provide adequate impact analysis and other relevant analysis to all stakeholders for concurrence prior to any significant changes to methodology and/ or parameters.
• Assist with ad hoc trade and portfolio level analysis.

Valuation and pricing models:

Ensure valuation models are documented, validated and aligned with market practices and regulatory requirements

• Replicate, develop and document pricing models documentation and validation: assumptions review, calibration and methodology, replication and challenger models, alignment with regulatory requirements and internal policies 
• Ensure models are based on quantitative, mathematical, financial, economic, or statistical theories that are widely accepted, relevant to valuation environment, and appropriately applied
• Ensure periodic monitoring of models is conducted as per the frequency prescribed by Banks’ internal polices and applicable regulatory guidelines
• Evaluate current model limitations and introduce alternatives pricing models where appropriate.

Market Risk Measurement Framework for Banking Book: 

Ensure Market Risk Measurement Framework for Banking Book Activities is well defined and consists of robust and best in class risk measurement methodologies.

• Assist in development/ enhancement, implementation and review of Liquidity and IRRBB Risk methodology framework, including risk assessment, metrics, ratios, assumptions, procedures and methodology
• Ensure that the Liquidity and IRRBB Risk methodology framework covers all key market risk aspects and is in compliance with and adhere to all local and other relevant regulations and standards in which the Group operates in.
• Provide active oversight on effective application of the Liquidity and IRRBB Risk methodology framework across the Group. 
• Ensure that the Liquidity and IRRBB Risk methodology framework is appropriate and effective in identifying and measurement of Liquidity and Price risk exposures generated by the business and/or asset class that the Group transacts in.
• Periodically review and monitor the liquidity and price risk assumptions are appropriate to the market and business operating environment.

Model Review and monitoring: 

Ongoing monitoring and review of models Market Risk exposures and Treasury Credit Risk models.

• Lead response to GMV, internal audit and Central Bank findings impacting models - Coordinate action plans and ensure prompt execution
• Coordinate, with external validation vendors and provide adequate and timely support towards their requests for information and/ or clarifications. 
• Perform ongoing review of model assumptions and/ or approximations against market and business operating environment.
• Highlight to senior management with MTCR, Finance and Treasury of any breach of assumptions and/ or approximations; provide mitigating actions, scenarios for rectification and/ or additional validation tasks, if deemed necessary.
• Periodically review and monitor the inputs, outputs and/ or parameters to the models are appropriate to the market and business operating environment. 
• Identify conceptual soundness of the models, risks not captured by models and model limitations, if any. 
• Perform periodic back testing of the all models to ensure that their inputs, their outputs and/ or their parameters still relevant market and business operating environment.
• Record weaknesses identified in the models, their inputs, their outputs and/ or their parameters; and thereafter suggesting imposition of conditions, mitigating actions, scenarios for rectification and/ or additional validation tasks, if deemed necessary.
• Define and conduct stress tests and reverse stress tests where warranted of Market Risk, Traded Credit Risk, Liquidity Risk and/ or IRRBB exposures

Market Risk System, Data and Process Infrastructure

Assist in Implementation and/or facilitate implementation of systems for Market Risk, Traded Credit Risk, Liquidity Risk, IRRBB, Treasury or other businesses across the Group, as required.

• Participate in design, testing and implementation of systems and/ or enhancements requiring Market Risk, Traded Credit Risk, Liquidity Risk and/ or IRRBB engagement towards enhancing existing systems, processes and controls.
• Support project initiatives to meet any new/ upcoming regulatory requirements.
• Identification of the critical path, key milestones and plan tasks to achieve them accordingly.
• Ensure that the project/milestones deadlines are met within a framework of good governance controls requirements. 
• Participate in Project Working Groups and other forums as called for as a key stakeholder and to oversee the progress of implementation. Appraise senior management within MTCR on risks, delays and/or other issues pertaining to the Projects.
• Periodically review appraise senior management within MTCR of any deficiencies and improvements required in systems and processes employed by Market Risk to ensure robust and quality service in line with best practices.

Advice / Support on quantitative and methodology matters: 

Provide specialist support or advice to the MTCR management quantitative and methodology matters for improving the risk assessment and quantification.

• Lead the research, development, and implementation of innovative modelling techniques 
• Assist in identification of risks in business, products and/ or assets classes. 
• Assist in highlighting risks in business or products and/ or assets classes from Market Risk and Traded Credit Risk perspective to senior management at MTCR.

Personal / Staff Development:

Identify areas of development and take necessary actions in order to enhance expertise and contribution

• Self-review and identify areas of development.
• Propose necessary actions to be taken in order to enhance expertise and contribution. 
• Ensure strong ongoing engagement with key stakeholders across the various business units, risk units and other support/ oversight units.

Education

• Masters/Advanced quantitative degree  (Finance, Mathematics, Economics, Statistics, Physics, Engineering or a related quantitative field of study)
• Chartered Financial Analyst (CFA)
• Financial Risk Manager (FRM)

Experiences

• At least 8-11 years of relevant experience in large international banking organizations
• Strong experience and knowledge in VaR/SVaR, Sensitivities, pricing models, PFE/XVA and IRRBB models
• Proven leadership in managing and quantitative models
• Strong experience of working in a fast paced trading floor environment and having dealt with Trading, Sales, Structuring, Risk and Credit functions 
• Strong change implementation experience

Knowledge & Skills

• Expert knowledge of complex derivative structures pricing and risk measurement
• Present ideas and achieve consensus
• Worked in diverse, cross cultural teams

Behavioral Competencies

• Should be pragmatic, innovative and quick learner
• Team player and ability to work in multi-cultural environment
• Strong communication and public speaking skills

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