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.

Develop, maintain, & document ALM models including Profit rate risk in the banking book (PRRBB), liquidity risk stress testing and behavioural models, in line with CBUAE – MMSG Standards and internal model risk management frameworks, for submission to and approval by the 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 modelling of non-maturing deposits, prepayment behaviour, and embedded optionality.

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.

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 modelling and reporting solutions.

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

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