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Hiring Company
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First Abu Dhabi Bank
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Vacant Post
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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 |
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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.
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Recommend appropriate model
reserves that would mitigate model limitations / assumptions, used for
pricing
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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.
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Perform full model validation not
limited to P&L, but include the impacts on the Value-at-Risk, the
Pre -Settlement Risk, the counter party valuation adjustment and the regulatory
reports such as Capital and Stress testing
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Develop and implement independent
models to benchmark production models.
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Document the performed analysis,
testing and finding
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Circulate the corresponding
reports to model Users and the relevant stakeholders
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Monitor the valuation
methodologies, and specify the internal valuation methodologies
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Approve the market data used for
valuation and for risk systems
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Develop model risk analysis
tools, such as back testing tools, to support ongoing model validation.
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Take final outputs to the committed for ratification
Minimum
Qualification:
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A higher academic qualification
in quantitative area (Master, Ph.D.) e.g. mathematical finance, econometric,
physics
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Strong knowledge in pricing
models, pricing theory, curve construction and/or CVA, exposure models
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Good knowledge of the asset
classes (FI, FX, commodities, equities, hybrid derivatives)
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Strong knowledge in Mathematics,
Statistics, Stochastic calculation and Numerical analysis
Minimum Experience:
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Work experience of 4-7 years in
model validation or in quantitative area in Financial Markets / Market Risk
with reputable Banks
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Ability to work accurately under
pressure to tight deadlines.
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Experience Market Risk / Trading
systems including Bloomberg, Reuters, Murex or similar
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Strong communication,
presentation and writing skills
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Knowledge of Arabic is desirable,
but not essential
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Knowledge of Murex, Numerix
and/or coding skills in C++/Matlab would be a distinct advantage.
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