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AVP – Risk Analytics and Scoring

DIB
Dubai, UAE
Full-time
Mid-Senior
Onsite
Discovered 1 weeks ago
retail credit risk modelingrisk scoring modelsIFRS 9stress testingPD, EAD, and LGD modelingexpected credit loss calculation
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Key skills for this role

retail credit risk modelingrisk scoring modelsIFRS 9
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Job Purpose

Support the development, enhancement, and implementation of credit risk rating methodologies, models, and scorecards.

Maintain retail credit risk models and scorecards that comply with internal, external, and regulatory requirements.

Maintain the bank's model inventory and provide business insights and recommendations through robust risk tools.

Key Responsibilities

  • Lead the development and implementation of retail risk scoring models across the life cycle of retail portfolios, including IFRS 9 and stress testing models.
  • Support Business, Risk, Finance, and Audit departments with scorecard-related queries and information.
  • Develop and implement PD, EAD, and LGD models and support expected credit loss calculations and IFRS 9 validation.
  • Create stress testing models and policies.
  • Support model validation through amendments, validation, and verification activities.
  • Review risk scoring models, identify improvement opportunities, recommend enhancements to senior management, and implement advanced techniques.
  • Oversee accurate model implementation, use, interpretation, and monitoring for retail lending portfolios.
  • Develop, maintain, and enhance application, behavioral, collections, and recovery scorecards.
  • Liaise with business, credit approval, collections, and related functions to monitor overrides and address requirements and feedback.
  • Develop and maintain a complete, accurate, and consistent model inventory in line with model governance policy.
  • Propose, validate, and implement scorecard amendments resulting from policy changes.

Education

  • Bachelor's degree in Applied Mathematics, Applied Statistics, Actuarial Sciences, Economics, or Computer Science.
  • CFA, FRM, or PRM certifications or credentials are pluses.

Work Experience

  • At least 7–8 years of experience in a quantitative risk management role at a financial institution.
  • First-hand practical experience with retail credit risk model development.

Technical Competencies

  • Advanced analytical ability.
  • Advanced conduct risk management.
  • Advanced credit risk management.
  • Advanced liquidity risk.
  • Advanced market risk management.
  • Advanced reputational risk management.
  • Advanced risk policy design and development.
  • Intermediate enterprise risk assessment.
  • Intermediate governance and risk quality assurance management.
  • Expert operational risk management.

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