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.
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Responsibilities
- Replicate, develop and document quantitative models pertaining to Market Risk Measurement Methodology Framework for all trading activities conducted by the Group.
- Ensure that the measurement framework covers all key market risk aspects and is in compliance with all local and relevant regulations and standards.
- Provide oversight on effective application of Treasury Credit Risk Measurement Methodology Framework across all products/asset classes and businesses within Group Treasury.
- Evaluate current model limitations and introduce alternative pricing models where appropriate.
- Lead the research, development, and implementation of innovative modeling techniques.
Requirements
- Masters/Advanced quantitative degree (Finance, Mathematics, Economics, Statistics, Physics, Engineering or a related quantitative field of study).
- At least 8-11 years of relevant experience in large international banking organizations.
- Strong experience and knowledge in VaR/SVaR, Sensitivities, pricing models, PFE/XVA and IRRBB models.
- Proven leadership in managing and quantitative models with strong change implementation experience.
- Strong communication and public speaking skills.
Location
Dubai, United Arab Emirates
