Role & responsibilities
- Identify and evaluates the conceptual soundness of the pricing ( Stochastic Fixed income and equity models) and market regulatory models (FRTB, VAR,IRC,CRM) along with assumptions and limitations
- Evaluate the implementation of the model by independent replication of model using SG pricing library.
- Assess the performance of the model by independently performing the calibration tests, degeneracy tests in case of exotic payoffs, benchmarking and various sensitivity tests covering stress scenarios.
- Review the quality of the input data by checking arbitrage free conditions and by liaising with various stakeholders such as IPV and data control teams to ensure data adequacy
- Evaluate the model usage by verifying the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,
- Formulate recommendations, which contributes to the improvement of the model as per SR-11-7 standards
- Prepare high quality audit deliverables including working papers and finding sheets.
- Write formal & clear reports to communicate audit results to management
- Assists audit management in preparation & execution of the audit plan
Preferred candidate profile
- Master’s or Ph.D. in a quantitative discipline such as mathematics, statistics, Finance, or physics
- Having 6+ years of experience in Pricing and Regulatory market model development or Validation
- Having excellent mathematical skills including stochastic calculus, numerical methods (PDE and Montecarlo)
- Knowledge of OTC derivative products(including exotics and Hybrids) across multiple asset classes (Equity ,IR and FX)
- Having CQF certification is an added advantage
- Knowledge specific to Market regulations like FRTB, ECB and CFTC are an added advantage
Provide analytical support and manage projects to deliver retail and commercial credit risk and decision models to support risk management and decision making in LBG.
The following accountability apply to the most roles and decision science at this level but there may be some variation depending on specific role in the team:
Good-to-Have
Expertise in PD, LGD, EAD and BAU models
Certified CQF and CIF
Responsibility of / Expectations from the Role
Very good knowledge of statistical techniques such as clustering, segmentation, ranking, correlation, or regression etc.
Use sophisticated statistical techniques to develop scorecards, customer segmentation schemes, profiles, and other analytically based tools in day-to-day operations.
Ability to recognizing information and patterns in data that are not obvious, and focusing analytical efforts in pursuit of explanations, isolations of cause and effect.
Accountabilities:
- Provide analytical support for different types of modelling tasks and projects, including model developments.
- Work independently on variety of analytical tasks and projects during the production of model monitoring report, validations, and collaborations.
- Work on projects to support initiative across decision science.
- Work and build wrap rapport with business contacts, communicating analysis clearly and delivering out to agreed plans and time scales.
- Take ownership and provides technical leadership to more junior analysts in the team.
- Support model implementation and testing.
- Comply with policies and apply best practises to all aspects of work.
- Deputise for manager when required.
- Act in line with the groups value and behaviours.
Skills, knowledge, and experience
- Degree with quantitative content or equal skills derived from experience.
- Experience extracting, manipulating, and drawing insight from the data
- Experience of working on design, development, and validation of credit risk models
- excel SAS, SQL, or similar experience
- demonstrates initiative and problem-solving skills
- good organisational and project management skills and ability to deliver tasks and project to deadlines
- good written and verbal communication and presentation skills and ability to build report with the stakeholders to suggest the solution and communicate the impacts
- good knowledge of the fundamental principles of banking credit Risk management and economics
- technical leadership and coaching
- practical application of statistical modelling techniques and technical methods
Organization Unit Purpose
Group Model Validation (GMV) plays the role of central model risk management within Group Risk. It is an independent team that sets out overarching model risk management policy at Group level and performs the roles of model governance and model validation for different types of models. The unit has the mandate from the Board Risk Committee (BRC) for model risk management across the Group. And the operations and deliverables are regulated by the central bank of the UAE (CBUAE) and audited by ENBD Group’s financial auditors.
The Unit is part of Group Capital and Portfolio Analytics (GCPA) in Group Risk. GCPA leads the Group in providing technical and thought leadership in the areas of risk analytics, the Internal Capital Adequacy Assessment Process (ICAAP) and model management for the Group in line with international practices. GCPA provides a strong support function within the Group and raises the profile of the Group capabilities with external stakeholders such as Central Banks, rating agencies and peer or working groups globally. The Unit is an area of center for excellence in advanced analytics and the leadership in application of Straight Through Processing (STP) methodologies.
Job Purpose
The senior manager role is created in GMV to strengthen its capacity to manage the model risk embedded in traded risk models. The candidate of the role is required to perform end-to-end model validation on market risk and counterparty credit risk (MR&CCR) models and support the relevant operations in model governance process. The main duties of the role are:
Perform vendor or in-house built model validation
- Based on model validation standards to conduct independent validation by assessing integrity of data, soundness of methodology and level of model performance and accuracy of computation
- Setup project working group and communicate with relevant stakeholders, discuss validation issues and explore remediation plan
- Create model validation report, and work with team heads to conclude final validation outcome whether the model is fit for purpose
Oversee and manage external model validation project
- Support the team head during the RFP process to provide business requirements and select vendor
- Closely collaborate with the vendor to onboard external validators
- Supervise validators to perform model validation in line with ENBD policies and process
- Setup working group meetings to discuss validation issues and remediation plans
- Support the external validator to finalize validation report and discuss with team head to conclude validation outcome
Closely work with team head to
- Develop and maintain technical standards for model validation
- Prepare materials to be submitted to model oversight committee or other internal / external forum
Closely work with model governance unit to
- Maintain and regularly update model inventory
- Track model validation issue in MRM system and evaluate the appropriateness of the resolution submitted by model owner / developer
The job holder is required to be technically strong in terms of model development / validation techniques and be familiar with regulations associated with models. The scope of the validation covers wider ranges of products and associated risk measurement as well as system implementation.
- Financial market product valuation
- Market data integrity
- Market risk measurement – Sensitivities, VaR (LVaR, SVaR etc.), Stress and Back Testing
- Counterparty credit risk – PFE, EPE, CVA, DVA, FVA etc.
- International and local regulatory capital framework
- System implementation
It is also expected the job holder is familiar with market risk / Finance system (Bloomberg / Calypso /Murex) in order to extract data and perform detailed independent validation. The job holder is expected to work very closely with key stakeholders such as front office, market risk and counterparty risk department, Group IT and external vendor (when applicable) to ensure that the requirements stipulated in regulations and internal policies are properly satisfied.
Job Content
Model Validation
- Independently lead and / or perform detailed end-to-end model validation
- Collaborate with model owner / developer and other stakeholders to drive validation process
- Raise model validation issues and articulate it in working group or committees
- Agree resolution plans with model owner / developer and track its status
- Create model validation report and review / sign off the report delivered by vendor
- Support the submission of validation report to model oversight committee
Model Validation Standards for MR&CCR Models
- Develop validation methodology and technical standards and maintain it in the Group Model Validation Standards
Model Governance
- Ensure the integrity of model inventory in the MRM system
- Track validation issue in the MRM system and evaluate the resolution plan
Education
- Msc or PhD in quantitative finance, mathematics, statistics, physics or engineering from recognized university
- Certificate of Quantitative Finance
Experiences
- Model development / validation / implementation models in banks from advanced jurisdictions (>10)
- Market and / or counterparty credit risk modelling experience (>8)
- Strong experience of working in trading floor environment and having dealt with trading, sales, structuring and treasury function (>5)
- Worked in a regulator capacity in a mature model jurisdiction
Knowledge
- Financial market product valuation
- Market data integrity
- Market risk measurement – Sensitivities, VaR (LVaR, SVaR etc.), Stress and Back Testing
- Counterparty credit risk – PFE, EPE, CVA, DVA, FVA etc.
- International and local regulatory capital framework
- System implementation in Calypso or Murex
- Bloomberg
Skills
- Excellent math/stats skills in calculus, stochastic calculus, linear algebra, numerical methods, and probability theory
- Strong programming skills in Python or VBA
- Basic project management
- Basic stakeholder management
Behavioral Competencies
- High integrity and moral standards
- Team work
- Consistency and reliability
About The Role
- Work with a multi-location team on valuation risk assessment covering various asset classes including fixed income, equity, insurance-linked derivatives, etc.
- Perform Independent Price Verification on various asset classes. Identify and analyse how changes in the market, inputs or methodologies can lead to uncertainties in valuations.
- Valuation risk assessment require good understanding of valuation drivers and methods.
- Work with large data sets using MS Excel.
- Produce valuation risk analysis reports on monthly basis to communicate the results to senior management.
About The Team
The Financial Model and Valuation Risk Management (FM&VRM) team primarily assess model risks and valuation risks. VRM squad is responsible for assessing the risks in valuations. It is responsible for performing Independent Price Verification (IPV) control, which formally assesses the quality of valuations and acts to correct any issues. The IPV process is a critical control function to ensure that fair valuations on financial market instruments reasonably reflect current markets as of a given date, providing confidence in the absence of material misstatements that could impact the financial balance sheet or decision-making processes. Valuation feed into our accounts, are at the core of P/L, determine the calibration of models, and form a key part of risk assessment. Inaccurate valuations distort the decision-making process, and so performing controls to ensure appropriate valuations are reported are an essential part of the firm’s operations.
About You
- 4+ years of experience in valuations/product control/quant finance/market risk. The ideal candidate would have experience with the independent price verification (IPV) or valuation control functions to determine whether assets are valued correctly and determine whether valuation adjustments are required for external financial reporting.
- Practical understanding of valuation models like discounted cashflow, no-arbitrage prices, Black-Scholes, etc.
- Strong academic background, preferably an undergraduate or master’s degree in a quantitative discipline.
- CQF/CFA/FRM will be a plus.
- Exposure to financial technologies like Bloomberg, Refinitive will be an advantage.
- Strong communication skills are required as reporting and presenting analysis is a core part of the job.
- Good organisational skills, ability to meet tight deadlines.
- Possess proactive attitude and willingness to apply general technical knowledge to new situations.
- Exposure to any programming environment is a plus.
As Technical / Functional Expert in Market Risk IT consultant he/she
- enables the Market Risk IT team to provide support for the users and PolyPaths application.
- analyzes, designs, develops, deploys, and maintains software application for Market Risk users (PolyPaths).
- Develop and integrate Java/python components within fixed income technology stack that consists of in-house built components (integrations),
- coordinate and be part of the vendor software monthly patching, upgrades, daily BAU level 2 support in PolyPaths.
Requirements
- 3-5 years of development experience with Numerix PolyPaths and Fixed Income Product related experience
- Understanding of the PolyPaths front end, batch process, OAS module, Jobs configuration, re run, etc
- Strong understanding of Fixed Income Products, Structured Products – Pricing, Valuation and Sensitivities
- Strong understanding of Market Risk measures like VaR, Expected Shortfall, XVA etc
- Hands on experience in Python, Java
- Strong work experience in Risk applications like Murex, Calypso, SS&C etc will be desirable
- Certification like FRM/PRM/CFA/CQF is desirable
Lead the design and development of advanced quantitative and AI-driven models for market abuse detection across multiple asset classes and trading venues. Drive the solutioning and delivery of large-scale surveillance systems in a global investment banking environment, leveraging Python, PySpark, big data technologies, and MS Copilot for model development, automation, and code quality. Play a pivotal role in communicating complex technical concepts through compelling storytelling, ensuring alignment, and understanding across business, compliance, and technology teams.
Key Responsibilities
- Architect and implement scalable AI/ML models (using MS Copilot, Python, PySpark, and other tools) for detecting market abuse patterns (e.g., spoofing, layering, insider trading)
across equities, fixed income, FX, and derivatives.
- Collaborate closely with consultants, MAR monitoring teams, and technology stakeholders to gather requirements, share insights, and co-create innovative solutions.
- Translate regulatory and business requirements into actionable technical designs, using storytelling to bridge gaps between technical and non-technical audiences.
- Develop cross-venue monitoring solutions to aggregate, normalize, and analyse trading data from multiple exchanges and platforms using big data frameworks.
- Design and optimize real-time and batch processing pipelines for large-scale market data ingestion and analysis.
- Build statistical and machine learning models for anomaly detection, behavioural analytics, and alert generation.
- Ensure solutions are compliant with global Market Abuse Regulations (MAR, MAD, MiFID II, Dodd-Frank, etc.).
- Lead code reviews, mentor junior quants/developers, and establish best practices for model validation and software engineering, with a focus on AI-assisted development.
- Integrate surveillance models with existing compliance platforms and workflow tools.
- Conduct backtesting, scenario analysis, and performance benchmarking of surveillance models.
- Document model logic, assumptions, and validation results for regulatory audits and internal governance.
Skills And Experience
Technical Skills:
- Advanced AI/ML modelling (Python, PySpark, MS Copilot, kdb+/q, C++, Java)
- Must be well versed with SQL and have hands on experience writing SQL (preferably Spark SQL) that is productionized (not ad-hoc queries) for at least 2-4 years
- Familiarity with Cross-Product and Cross-Venue Surveillance Techniques particularly with vendors such as Trading Hub, Steeleye, Nasdaq or NICE
- Statistical analysis and anomaly detection
- Large-scale data engineering and ETL pipeline development (Spark, Hadoop, or similar)
- Market microstructure and trading strategy expertise
- Experience with enterprise-grade surveillance systems in banking.
- Integration of cross-product and cross-venue data sources
- Regulatory compliance (MAR, MAD, MiFID II, Dodd-Frank)
- Code quality, version control, and best practices.
Soft Skills
- Strong storytelling and communication for technical and non-technical audiences
- Collaboration with consultants, MAR monitoring teams, and technology stakeholders
- Stakeholder management and requirements gathering
- Leadership, mentoring, and team guidance
- Problem-solving and critical thinking
- Adaptability and continuous learning
Qualification
- Bachelor’s or Master’s degree in a quantitative discipline such as Mathematics, Statistics, Computer Science, Engineering, Physics, or Economics from a recognized Indian university
- Additional certifications in Data Science, Machine Learning, or Financial Engineering (e.g., CFA, FRM, CQF) are must
