Model Risk & IFRS9

VAM Systems
Dubai
Workplace: OnsiteFull timeFunction: Legal, Risk & ComplianceExperience: 5+ yearsSkills: ["Analytical skills","Attention to detail","Model monitoring","Planning and organizing","Communication"]

Lead the design, implementation, and governance of end-to-end risk data pipelines for IFRS9 and Basel requirements. You will manage credit risk data used in PD, LGD, and EAD models, including default tagging and exposure computation, and support the IFRS9 impairment process and reporting. Build IFRS9/AIRB compliant credit risk models and scoring systems using statistical and segmentation techniques, while extracting and transforming data via SQL and BusinessObjects reports and performing model monitoring and validation.

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FursaFursa
VAM Systems
VAM Systems
20 hours ago

Model Risk & IFRS9

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Last checked: 18 hours agoStatus: Live

Job Summary

Lead the design, implementation, and governance of end-to-end risk data pipelines for IFRS9 and Basel requirements. You will manage credit risk data used in PD, LGD, and EAD models, including default tagging and exposure computation, and support the IFRS9 impairment process and reporting. Build IFRS9/AIRB compliant credit risk models and scoring systems using statistical and segmentation techniques, while extracting and transforming data via SQL and BusinessObjects reports and performing model monitoring and validation.
Location: Dubai
Workplace: Onsite
Employment Type: Full time
Job Function: Legal, Risk & Compliance

Key Responsibilities

  • •Design and govern end-to-end risk data pipelines aligned to regulatory and modelling requirements.
  • •Ensure availability, accuracy, and traceability of credit risk data used in PD, LGD, and EAD models (including default tagging and recovery tracking).
  • •Lead the IFRS9 and impairment process support, including ECL calculation and business-as-usual reporting.
  • •Develop IFRS9/AIRB compliant credit risk models and scorecards using statistical and segmentation techniques.
  • •Extract, transform, and analyze data from databases using SQL and BO reports; monitor and validate models against Basel and other regulatory guidelines.

Key Requirements

  • •5+ years of experience in Risk & Financial services and quantitative modelling.
  • •Strong understanding of IFRS9 regulations, including managing the end-to-end IFRS 9 impairment process and ECL calculation/reporting.
  • •Design, development, and implementation of IFRS9 and AIRB compliant credit risk models (PD, LGD, EAD).
  • •Experience developing Application/Behavioural/Collections scorecards and macroeconomic default models using linear/logistic regression and segmentation techniques (CHAID, clustering).
  • •Programming skills in SAS, Python, R, Excel with VBA, and SQL; ability to extract/transform data for analysis and reporting.
Experience:5+ yearsRiskFinancial services
Skills:Analytical skillsAttention to detailModel monitoringPlanning and organizingCommunication
Languages:English
Tech Stack:ETLIFRS9Basel IIBasel IIIPDLGDEADSQLSASPythonRExcelVBABusinessObjects (BO) ReportsLinear regressionLogistic regressionCHAIDClusteringCredit risk modelsECL calculation

Company Brief

VAM Systems
Provides product engineering and software development services across embedded systems, IoT, cloud, AI, and digital transformation for enterprises in automotive, healthcare, industrial, and consumer electronics sectors.
Industry: Professional Services
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