Senior Manager

Role : Senior Manager - Market Risk Models Location : Abu Dhabi Role Purpose : The Market Risk function within the Risk Management Department mandate is to monitor, report, and model Market risk and all related quantitative models including PRRBB, PFE, VaR, XVA, and pricing models, build Stress Test Scenarios, Liquidity Risk, as well as support and due diligence Treasury, Capital Markets, Assets and Liability management activities. As a Senior Manager, the job holder is expected to add value by leading the development, enhancement, and maintenance of advanced Risk Models, and recommending improvements to the risk management framework, through bringing a combination of strong quant capabilities, proficiency in IT and data analytics, robust market risk management and modelling techniques, practices and discipline. The role also requires ensuring compliance with international regulatory standards such as Basel, as well as local regulatory frameworks including MMS and MMG, while promoting best practices and discipline across the risk function. A key objective is to build and internalize specialized knowledge and capabilities—often sourced externally through consultants—within the team, ensuring sustainable expertise and reducing dependency on third parties. The function is also expected to implement effective controls on day‑to‑day risk activities, and bring innovation and efficiency through advanced quantitative skills, data analytics, and IT‑driven solutions. Key accountabilities of the role : Leveraging a robust quantitative background, deep regulatory insight, and advanced knowledge of risk metrics to deliver high‑value analytical contributions that support strategic decision‑making. This involves proactively identifying optimal modelling approaches and guiding the bank toward future‑proof choices in market risk management, aligning with evolving regulatory standards and industry’s best practices. Leading the development, validation, and implementation of advanced models for value‑at‑risk (VAR), PFE, XVA, stress testing, and asset‑liability management (ALM) using advanced statistical, mathematical techniques and scalable IT solutions. Overseeing complex data analysis, back testing, and scenario design to assess the performance and accuracy of the models, ensuring strategic relevance and robustness under diverse market conditions. Providing technical support and documentation for the models and ensuring compliance with regulatory requirements and internal policies. Driving cross‑functional collaboration with trading, finance, and IT teams to integrate the models into the risk management framework and systems, with a focus on automation, scalability, and alignment with business objectives. Contributing to model governance, regulatory interactions, and strategic initiatives related to capital optimization, collateral management, and enterprise risk analytics. Enhancing market liquidity and counterparty credit risk frameworks, including liquidity‑adjusted VAR, potential future exposure (PFE), and exposure analytics across asset classes. Conducting research on new methodologies and best practices for market risk modelling and staying updated on the latest developments in quantitative finance, regulatory expectations, and emerging technologies. Qualification, skills / technical knowledge required for this role : Master’s or PhD degree in quantitative finance, mathematics, statistics, physics, engineering, or a related field. At least 10 years of experience in market risk modelling or a similar role in a financial institution or consultancy firm. Strong knowledge of market risk concepts, measures, and regulations such as VAR, stress testing, ALM, Basel III, etc. Proficient in programming languages such as Python, R, MATLAB, C++, etc. and familiar with databases and data analysis tools such as SQL, Excel, etc. Excellent analytical, problem‑solving, and communication skills and attention to detail. Ability to work independently and as part of a team in a fast‑paced environment. #J-18808-Ljbffr