CCAR Forecasting Manager - Barclays - New York

Job description

As part of the Federal Reserve’s Annual Comprehensive Capital Analysis and Review (CCAR), BHC/IHC must conduct an intensive assessment of their capital adequacy and policies. The Federal Reserve expects these BHC/IHC to have sufficient capital to withstand a severely adverse operating environment and be able to continue operations, maintain ready access to funding, meet obligations to creditors and counterparties, and serve as credit intermediates. As part of CCAR the BHC/IHC must conduct an annual company-run stress test taking into account the current condition of the company, including its risks, exposures, strategies and activities using scenarios provided by federal Reserve and submit results as early as January, 2015.
The CCAR framework will be multi-year project, impacting multiple entities within Barclays, ultimately resulting in full CCAR for the IHC. Significant effort will be required to conduct the stress test and comply with other requirements around the following:

o Company run stress testing including policies and procedures
o Estimates of projected revenues, losses, reserves and pro forma capital levels
o Supporting documentation for analyses used in capital plan
o Regulatory Reporting of results and supporting documentation
o Effective governance - Board and Senior Management Oversight
o Internal Audit review
o Model validation and model risk governance
o Effective challenge framework
Base and stress projection capabilities will need to be built/enhanced, considerations including:
o Leveraging of Barclays Group versus new local processes
o Tactical analyses versus strategic solutions

The Fed requires BHC/IHC to complete a variety of detailed schedules referred to as the FR Y-14A, FR Y-14Q and FR Y-14M which include schedules that require projection of Basel I ratios and components. This project charter describes the activities required to set up the framework for developing the capability to calculate US Basel I and III capital ratios and its components.

Main Duties

• Assist in the development of the business architecture required to support the CCAR forecasting requirements for revenues, losses, reserves, balance sheet and pro forma capital levels
• Implementation of forecasting capabilities required to conduct forward looking projections for the CCAR stress testing framework and generate results for the FR Y-14A and FR Y-14Q schedule submissions.
• Coordinate the building and managing the forecasting models for CCAR. Responsible for entire lifecycle of collecting data, building and implementing models, and performance tracking.
• Act as project lead and subject matter expert relating to forecasting model development
• Conducting econometric and statistical analysis of credit data
• Performing sensitivity analysis, scenario analysis, etc.
• Keeping abreast with latest research and white papers on credit risk parameters & developing methods to calculate value of parameters that meet Basel 3 and other regulatory requirements
• Check the conceptual soundness of the models, assess data quality and integrity as well as model assumptions
• Interact with senior management and regulators to present forecasting stress results and reports the forecast collection process within various infrastructure areas within the IHC (i.e. Front Office, Legal Entity Control, Product Control, Risk, Treasury)
• Document the methodology used in determining the projection of the banks revenues, losses, and reserves in addition to aggregating background information on the methodologies supporting the projections.
• Responsible for managing the aggregation, analysis and monitoring of Pre-provision net revenue (PPNR), inclusive of trading revenues, assuring consistency with the economic and financial environment specified in the Federal Reserve and IHC scenarios.
• Collaborate with Treasury and Risk bringing together estimates of losses and capital resources to assess the combined impact on capital adequacy
• Assist in developing effective board and senior management oversight of the Capital Adequacy Process (CAP) including loss and resource estimation methodologies
• Develop robust internal controls governing the CAP including policies and procedures; change control; comprehensive documentation; model validation; and review by IA as it relates to the forecasting requirements for revenues, losses, and reserves
• Manages a team supporting the forecasting model function

Desired Skills and Experience
Basic Qualifications
• Bachelor’s Degree
• 10+ years experience in forecasting model development within the financial industry
• 10+ hands-on experience in CCAR, Basel III, stress testing, and capital loss
• Strong quantitative and statistical skills (time series analysis, logistic/ linear regression, ARIMA modeling, cash flow modeling).
• Excellent communication skills (written & verbal).
• Experience in investment banking products including complex investments
• Masters of Science/Business Administration degree in Statistics, Economics, Mathematics, Finance or Accounting
• CFA or CPA beneficial

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