Credit Risk Management Specialist

4 weeks ago


Dubai, Dubai, United Arab Emirates AL Rostamani Group LLC Full time
Position Overview
As a Treasury Manager at AL Rostamani Group LLC, you will play a pivotal role in overseeing and enhancing our credit risk management frameworks. This position demands a seasoned professional with a robust background in model development and validation within the banking sector.

Location: Mumbai
Experience Required: 4-9 years

Key Qualifications:
  • Proven experience in developing, validating, or monitoring credit risk models, particularly within a Global Systemically Important Bank (GSIB) or comparable institutions.
  • Strong grasp of credit risk model development processes, including:
    • Exploratory data analysis, roll rate assessments, vintage analysis, and defining good/bad classifications.
    • Factor selection and logistic/linear regression methodologies, including an understanding of their assumptions and limitations.
    • Calibration of scorecards and validation processes.
  • Experience in market risk model development or validation, focusing on:
    • Value at Risk (VaR) modeling and validation techniques, including back-testing and scenario analysis.
    • Pricing strategies for linear instruments and derivatives.
    • Curve construction and calibration methodologies.
    • Market Risk Capital computation under various approaches.
    • Economic Capital assessment.
  • Comprehensive knowledge of regulatory frameworks such as IRB, IFRS 9, CECL, CCAR, and guidelines from BCBS and other regulatory bodies.
  • Familiarity with machine learning techniques is advantageous but not mandatory.
  • Proficiency in programming languages and tools such as R, Python, SAS, SQL, or VBA, with expertise in at least one being essential.
  • Experience in preparing model documentation, monitoring plans, and validation reports.

Skills Required: Expertise in credit risk model development, validation, and monitoring within a GSIB context.
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