Commercial Bank of Dubai
Senior Manager Jobs In Dubai 2023 | Commercial Bank of Dubai
- Design and implement new approaches and enhance existing methodologies to advance market risk and Counterparty credit risk measurement.
- Responsible for the development of quantitative models, with a focus on market risk (VaR and stress testing), balance sheet models (IRRBB, liquidity risk) and counterparty credit risk models (xVA, PFE).
- Perform analysis to provide effective challenge to existing models by evaluating model related risks including input data, model assumptions and limitations, conceptual soundness, methodology, outcomes analysis, benchmarking, monitoring, and model implementation.
- Ensure model development, monitoring, and validation approaches meet regulatory expectations and internal risk management needs.
- Establish a model monitoring and back testing framework, analyze the results and recommend necessary remediation actions.
- Communicate with model users, trading desks and business lines to enhance models and ensure correct use of models.
- Provide quantitative support to traders (in the risk modelling context), to ensure the successful integration of new products and pricing models.
- 10+ years banking experience of which at least 5 years in a position in Treasury risk and balance sheet modelling
- Strong knowledge of VaR, PFE and IRRBB measurement and implementation.
- Have a Deep understanding of treasury business, global capital markets and advanced market risk knowledge including fixed income, FX, IR, and commodity derivatives and their valuation methodologies.
- Strong understanding of Treasury and Structured products.
- Practical experience using different information systems (Bloomberg, Reuters).
- Working experience in implementing treasury systems
- Working experience with programming languages (C++, VBA and/or Python
- Masters Degree in Finance, economics or mathematics
To apply for this job please visit www.careerjet.ae.