Performance & Capital Management Senior Manager

SABB

Support Senior management in Model related activities in line with SAB strategy , Behaviourization ,Regulatory IRRBB models ,Regulatory liquidity models and RWA calculation: Pillar 1 and 2 under Basel III .

Support activities pertaining to First Line of defence based on the Model Risk Management Framework for PCM models:

• Support Model users
• Model development based on best industry practice
• Model validation
• Model calibration and monitoring
• Model documentation in line with SAB standards
• Maintain the PCM model inventory up to date (within SAB Model Inventory)
• Assisting in conducting New Product Due Diligence from PCM perspective.

Support the Stress testing, ICAAP and ILAAP exercises

Support all governance committees (ALCO, ALCO WG, ST WG) by providing timely inputs and escalating issues when required.

Provide model risk expertise of Liquidity and IRRBB models, working in conjunction with Product Controls, Front Office, Global Markets Operations and other support and control functions.

Management of implementation and/or enhancements of SAS Systems based either on internal enhancements or on Basel and/or Saudi Arabian Monetary Agency (SAMA) Regulatory stipulations.

Participating in the PCM model development cycle in conjunction with BAs and system owners

Support the model reviews by IMR, Internal and external Audit as well as regulatory visits. Implement the findings in a timely manner.

Implementing global best practices related to PCM.

Housekeeping of PCM relevant FIMs, policies, framework, Terms of Reference .