Senior Quant Model Development

Job Description
This role is a senior quantitative model development role responsible for enhancing and developing internal capabilities in the Group MTCR function based in ENBD Head Office in Dubai, UAE. Organization Unit Purpose Market & Treasury Credit Risk (MTCR) is a Group Risk function, independent of all business units. The unit focuses on identification, measurement, monitoring, reporting and overall management of market & counterparty credit risk. The unit has direct ownership and responsibility for ENBD UAE and its international branches in Singapore, London, Mumbai and KSA. Additionally the unit provides governance oversight, assistance and consultation for market and counterparty credit risk matters to risk and business stakeholders at group subsidiary entities namely Emirates Islamic, ENBD Egypt and DenizBank. Job Purpose This role is responsible for enhancing and developing internal quant capabilities in treasury methodology, measurement, quantitative analysis, stress testing, back testing, model calibration, and model development. The position focuses on supporting the Global Market & Treasury business by ensuring robust practices and expertise in these key areas. The successful candidate will be part of the Group MTCR function based in ENBD Head Office in Dubai, UAE. The model development and quantitative analysis scope extends to broadly cover the following aspects:
- Financial market product valuation using standard pricing frameworks (SDEs, local & stochastic vol, etc.)
- Market data appropriateness and sufficiency
- IRRBB/behavioral models: NMD, Prepayment and early termination, basis risk, EVE/NII
- Market Risk model development, including – Sensitivities, VaR, Stress Testing, Back Testing, RNIV
- Counterparty Credit Risk model development, including – PFE, XVA, WWR, SIMM, Stress Testing, Back Testing
- Model calibration and performance monitoring
- Market & Counterparty Credit Risk Regulatory Capital
- Portfolio Stress testing
- System change initiatives
- Documentation including methodological notes, presentations and policies
- Regulatory

Requirements:
MMS, MMG and other regulatory requirements The job holder will be responsible for developing and maintaining risk quantitative models, and engaging with model users and validators (both internal and external), regulators, and other internal stakeholders. This role demands a high level of quantitative modelling experience, business awareness, leadership capabilities, control and good governance framework, a keen eye for detail, good communication skills, technical documentation writing skills and an advanced degree qualification in a related area. Job Content Interest Rate Risk in the Banking Book 1. Development of behavioral models for interest rate risk in the banking book (including but not limited to NMD, Pre payment risk, Basis Risk, Early Termination) 2. Ensure compliance with local regulations, internal standards and global best practices 3. Ad-hoc trade and portfolio analysis 4. Ongoing model monitoring and periodic model updates Market Risk Measurement: 1. Development of models for market risk measurement including but not limited to:
- Risk sensitivities and greeks
- Value-at-Risk
- Risks not in VaR (RNiV)
- Backtesting
- Stress Testing 1. Ensure compliance with local regulations, internal standards and global best practices 2. Ad-hoc trade and portfolio analysis 3. Ongoing model monitoring and periodic model updates Counterparty Credit Measurement: 1. Development of models for counterparty credit risk measurement including but not limited to:
- XVA and Derivatives pricing
- PFE, Monte carlo simulations
- SDE models, IM and VM, Haircuts
- Specific and General Wrong Way Risk
- SIMM 1. Ensure compliance with local regulations, internal standards and global best practices 2. Ad-hoc trade and portfolio analysis 3. Ongoing model monitoring and periodic model updates Model Review and monitoring: Ongoing monitoring and review of models.
- Work with Group model validation, internal audit and Central Bank to respond to and remediate findings impacting models
- Coordinate action plans and ensure prompt execution
- Highlight to senior management with MTCR, Finance and Treasury of any breach of assumptions and/ or approximations; provide mitigating actions, scenarios for rectification and/ or additional validation tasks, if deemed necessary.
- Periodically review the quantitative models and monitor the inputs, assumptions, and/ or parameters to the models and ensure they remain appropriate to the market and business operating environment.
- Ensure models are based on quantitative, mathematical, financial, economic, and statistical theories that are widely accepted, identify conceptual soundness of the models, risks not captured by models and model limitations, if any.
- Perform periodic back testing of the all models to ensure that their inputs, their outputs and/ or their parameters still relevant market and busin