Credit Risk Modeler

  • Competitive
  • Abu Dhabi, United Arab Emirates
  • Permanent, Full time
  • Abu Dhabi Commercial Bank
  • 19 Sep 17

To support the development, implementation and validation of a suite of credit risk methodologies, models and metrics compliant with IFRS 9 and to provide tools to ensure that the bank’s exposure to credit risk is maintained within Board approved limits and regulatory requirements


Model Validation and Maintenance 

Conduct regular performance measurement on discriminatory power and back testing and calibrate/re-develop the model when necessary in order to ensure the model can be used in ECL and economic capital calculations 

Data Management and Analysis 

Prepare data requested for ECL production on a monthly basis, review and revise all tables, fix any anomalies generated by the system and analyse the results in order to ensure an accurate calculation of the provision at account level for the bank when reporting to central bank 

Stress Testing 

Support the line manager in conducting stress testing in order to assess the impact on bank profitability, capital and solvability and prepare executive and risk committee presentations 

ICAAP Reporting 

Assist the line manager in the annual Internal Capital Adequacy assessment exercise in order to provide reports to executives, ADCB risk committees and the Central Bank and ensure continuous improvement on internal assessment of risks 

Advice and Guidance 

Provide advice and guidance to various departments across the organization in order to assist them with validation of methodologies and models; policy and RAROC utilization 

Economic Capital 

Conduct economic credit risk and concentration risk capital calculation on a quarterly basis and analyse the results in order to assess any increase in single name and sector concentration and report to senior management/central bank on a quarterly/annual basis 


Conduct research on industry leading best practice to ensure that the bank’s credit risk methodologies and models are continuously developed and refined



Minimum Experience

At least 7 years of experience in a credit risk modeling function (particularly for retail) in an international financial institution with implementation experience of third party risk system platforms such as MRA and FERMAT 

Minimum Qualifications 

Master’s Degree in Statistics, Mathematics, Financial Engineering or equivalent quantitative field 

Knowledge and Skills 

  • Advanced understanding of models for credit risk parameters (PD, LGD and EAD) for both retail and wholesale 
  • Advanced knowledge of Basel accord and IFRS9 regulation and compliance requirements 
  • Deep understanding of credit risk capital calculation, stress testing and RAROC 
  • Knowledge on SQL, SAS and VBA programming software