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Job Description
Job Purpose
To assist in the determination of banks capital requirement based on Basel Capital Accords for Pillar-I, Pillar-II, Pillar-III risks and Stress Testing using qualitative and quantitative assessment and analysis of all risk issues.
Key Responsibilities
Assist in meeting CB-UAE reporting requirements of the Basel Capital Accords for Credit, Market and Operational Risk.
Assist in the design, construction and delivery of Basel Capital Accords internal reporting related to capital requirements to senior management.
Assist in developing PD and LGD models for advance approaches for Basel Capital Accords.
Assist in the development, implementation of models in risk management with focus on Credit Risk, Market Risk, Operational Risk related to Basel Capital Accords and CB-UAE Basel Regulatory reporting requirements and guidelines.
Assist in developing and implementing model for Economic capital calculation and valuations.
Assist in developing Capital Adequacy reports for Stressed Credit Economic Scenarios.
Assist in Validation of Capital Computation on the group level with the Central bank Examiners.
To report to Head of ICAAP capital requirement for stressed ALM scenarios.
Develop and report the ICAAP Pillar II & Pillar III report as per CB-UAE Basel Regulatory reporting requirements and guidelines.
Assist Head of ICAAP in the development of futuristic Capital plan for the strategic planning of capital management.
Assist in the developing Stress Tests and Economic scenario analysis for capital planning.
Competencies/Skills
Education
Minimum Bachelor’s degree(Business, Statistics & Economics
Work Experience
Min 4-6 years of experience in Basel-II and capital computation in Pillar I & II
