Review of Credit Approval Process & Template
- Reviewed compliance of the credit approval process with CBUAE regulations, including those around AML & KYC requirements
- Assessment of whether the process effectively evaluates
- Credit Risk: Analysis of financial statements, collateral, and credit history.
- Concentration Risk: Monitoring of exposure to specific industries, geographies, or customers
- Early Warning Signals: Mechanisms to identify potential credit risks early.
- Assessment of whether the bank’s internal credit policy is consistently applied and adhered to, including risk appetite limits, capital constraints, and limits around lending, sectors, and customer segments.
- Assessment of processes and checklists that:
- flag and highlight deviations to credit policy
- ensure such deviations are reviewed by appropriate authorities
- Assessment of whether applications are classified and analysed from a return perspective – both current returns and the potential of improvement in those returns.
- Assessment of whether such classifications are reviewed on a periodic/quarterly basis
- Assessment of loan origination process to review data collection, financial analysis and adherence to timelines.
- Reviewed processes, and the adherence to them, around approval authorities (defined based on the loan amount, type, and risk profile) and whether delegation is done based on skill and experience
- Reviewed the integration of technology to automate parts of the credit approval process (e.g., credit scoring, and document verification) for increased efficiency and reduced errors.
- Assessment of post-approval monitoring processes for loans
- Review of whether proper documentation and audit trails are maintained
- Assessment of the approval note template, for structure, clarity, and comprehensiveness
Quarterly Internal Stress Testing
- Developed a thorough understanding of existing stress testing models, covering credit, market, liquidity, and operational risks.
- Assessed the designed scenarios and recommending improvements to their relevance, realism, and coverage in terms of all risk-specific factors.
- Reviewed whether all relevant risk types and exposures are adequately captured.
- Assessed compliance with Central Bank of the UAE (“CBUAE”) requirements.
- Reviewed accuracy, consistency, and completeness of data inputs
- Reviewed stress testing results with stakeholders
- Highlighted significant changes or causes of concern, if any.
- Reviewed and enhanced reporting templates for their structure, clarity, and compliance with CBUAE requirements
- Reviewed access control procedures and enhancing security around reporting templates
Review and Enhancement of Monthly Risk Computations
- Extracted and cleaned monthly data and ensured its accuracy.
- Implemented gap analysis and sensitivity analysis for interest rate risk exposure.
- Estimated Earnings at Risk (EaR) and Economic Value of Equity (EVE) sensitivity under various interest rate scenarios, including parallel and non-parallel shocks.
- Ran monthly stress tests for interest rate movements.
- Provided monthly calculations for Delta EVE (ΔEVE), Delta NII (ΔNII), Duration Gap.
- Performed monthly Liquidity Coverage Ratio (LCR) & Net Stable Funding Ratio (NSFR) calculations.
- Calculated the Available Stable Funding (ASF) & Estimating the Required Stable Funding (RSF)
- Conducted stress testing for both LCR and NSFR under different market stress conditions, including Higher-than-expected deposit outflows, Stress scenarios for loan repayments, and increased drawdowns on credit lines, Illiquidity of specific HQLA assets.
- Generated monthly IRRBB, LCR and NSFR reports,
- Provided a breakdown of the composition of HQLA, ASF, RSF, and net outflows.