Job Description

Key Responsibilities:
Contribute to the development and execution of market risk frameworks and pre-impairment profit stress testing
Pre-Impairment Profit Stress Testing & Net Profit Income (NPI) Analysis: Design earnings stress approach incorporating profit rate shocks and macroeconomic scenario overlays for regulatory stress testing exercises.
Market Risk Stress Testing (ICAAP & Regulatory Stress Testing):

• Analyze market risk exposures, including rate, credit spread, FX, equity, and optionality risks for the Bank's Islamic Derivative and Investment portfolio.
• Build scenario-based stress testing across market risk factors: profit rates, credit spreads, FX, and equity markets using below approaches as deemed fit:
• Full revaluation
• Delta-normal
• Taylor expansion for options and non-linear instruments
• Bucketed sensitivities method to aggregate risk factor movements
• Run historical, hypothetical, and reverse stress testing aligned with Shariah-compliant risk profiles.
• Quantify impacts on capital and income under the stress scenarios.
• Support risk-based decision-making through scenario analysis, reverse stress testing, and contribute to ICAAP and regulatory stress exercises primarily focused on Market Risk Stress Testing.
• Ensure validation, documentation, and audit-readiness of stress testing and market risk models (if any).
• Collaborate across Market Risk, Finance, and Treasury to align stress testing with capital planning and earnings forecasts..

• Pillar 1 Market Risk & Credit Risk Capital:

Support implementation of FRTB for computing market risk RWA using the Standardized Approach (SA) under FRTB:

• Sensitivities-Based Method (delta, vega, curvature risk)
• Default Risk Charge (DRC)
• Residual Risk Add-On for unmodellable risk factors
• Map the Banks's exposures correctly per FRTB boundary rules and ensure appropriate risk factor categorization.
• Monitor FRTB eligibility of instruments and regulatory treatment of Sukuks under DRC buckets.
• Understanding of Credit Risk RWA calculation based on Standardised and F-IRB methodologies.
• Prepare responses to regulatory queries from the UAE Central Bank and align practices with Basel III/IV updates.
• Assist with disclosure and reporting requirements (Pillar 3, QIS, ICAAP, RRP, FSU Stress Testing).

Competencies/Skills
Required Skills & Experience:
In-depth understanding of Basel III market risk capital rules (including FRTB SA), LCR, NSFR, PRRBB (Profit Rate in Banking Book).
Strong quantitative knowledge of risk sensitivities (delta, vega, curvature) ,market RWA attribution, market risk metrics (VaR, sensitivities, duration) and earnings-based risk analysis (NII, pre-impairment profit).
Deep understanding of market risk stress testing methodologies, with direct experience in:

• Full revaluation engines
• Delta-normal and curvature-based approximations

Experience with FRTB frameworks, including boundary rules, standardized/internal model approaches, and capital implications.
Knowledge of Sukuks, Islamic Derivative Products and associated risks.
Strong skills in Python, R, or SAS for modeling and data analysis are a plus.