Manager – ALM & Market Risk Models

Job Purpose

The Manager – ALM & Market Risk Models is responsible for the development, enhancement, validation support, and governance of Asset–Liability Management (ALM) and Market Risk models.

The role ensures that risk measurement methodologies are robust, regulatory compliant, and aligned with the bank’s risk appetite, supporting strategic decision-making, balance sheet optimization, and capital adequacy.

Key Responsibilities

Develop, maintain, & document ALM models including Profit rate risk in the banking book (PRRBB), liquidity risk stress testing and behavioral models, in line with CBUAE – MMSG Standards and internal model risk management frameworks, for submission to and approval by Model risk Management Committee (MRMC).

Design & document market risk models such as pricing of derivatives, risk metrics computation, Value at Risk (VaR), and stress testing frameworks.

Ensure accurate modeling of non-maturing deposits, prepayment behavior, and embedded optionality.

Model Governance & Validation Support

Prepare comprehensive model documentation, including methodology, assumptions, limitations, and usage.

Support independent model validation and regulatory reviews by providing analysis, evidence, and remediation plans.

Monitor model performance and conduct periodic back-testing, benchmarking, and sensitivity analysis.

Regulatory & Policy Compliance

Ensure compliance with regulatory requirements (Basel III, PRRBB guidelines, CBUAE- MMSG Standards).

Support ICAAP, ILAAP, stress testing, and regulatory reporting requirements.

Translate regulatory expectations into practical modeling and reporting solutions.

Risk Analytics & Reporting

Produce and Review ALM and Market Risk Reports for Senior Management and Risk Committees (ALCO, RMC)

Analyze risk exposure, limit breaches and stress impacts providing clear insight and recommendations.

Education

Master’s degree, preferably in relevant subject (i.e. Finance, Risk Management, Mathematics, Economics, etc.)

Any Globally recognized certification would be an added advantage (e.g. CFA / FRM)

Work Experience

Minimum 8 - 10 years of relevant experience in development of ALM and Market Risk models with experience in developing and maintaining models related to Liquidity and Profit Rate Risk in Banking Book (PRRBB).

Proficient in market risk models methodologies such as SACCR computation, VaR and derivative valuation models.

Experience in regulatory framework including PRRBB, FRTB, ICAAP and ILAAP.