Model Risk & IFRS9

Role Overview

Model Risk & IFRS9 professional at VAM Systems, UAE operations.

Role Purpose

Lead the design, implementation, and governance of end-to-end risk data pipelines and IFRS9 impairment processes. Ensure availability, accuracy, and traceability of credit risk data used in regulatory models and reporting, aligned with CBUAE, IFRS9, and Basel II/III requirements.

Key Responsibilities

Credit Risk Modelling

• Design, develop, and implement IFRS9 and AIRB-compliant credit risk models including PD, LGD, and EAD.
• Develop Application, Behavioural, and Collections Scorecards using Linear and Logistic Regression techniques, CHAID segmentation, and Cluster analysis.
• Develop macroeconomic default models using appropriate statistical techniques.

IFRS9 Management

• Manage end-to-end IFRS9 impairment processes in a business as usual environment.
• Execute ECL calculations and reporting.
• Oversee default tagging, post-default events, recovery tracking, and exposure computation.

Data Management & ETL

• Extract and transform data from databases using SQL and BO Reports for analysis and reporting.
• Lead the design and implementation of ETL pipeline development for credit risk data management.
• Ensure data governance and traceability across all risk data pipelines.

Model Governance & Validation

• Monitor and validate credit risk models in line with Basel and regulatory guidelines.
• Ensure regulatory compliance with CBUAE, IFRS9, and Basel II/III requirements.

Communication & Planning

• Communicate clearly and effectively at all organizational levels.
• Prioritize and plan work activities efficiently.
• Demonstrate excellent analytical skills and attention to detail.

Qualifications & Experience

• Minimum 5 years of experience in Risk & Financial Services and Quantitative Modelling.
• Strong understanding of IFRS9 regulations.
• Previous experience managing end-to-end IFRS9 impairment processes including ECL calculation and reporting.

Skills & Competencies

• Programming: SAS, Python, R, Excel with VBA, SQL.
• ETL pipeline development.
• Credit risk data management.
• Statistical modelling: Linear and Logistic Regression, CHAID segmentation, Cluster analysis.
• Data extraction and transformation.
• Analytical skills and attention to detail.

Additional Information

• Joining timeframe: 2 weeks maximum (1 month preferred).