The person filling the role would be expected to work on models across the department’s remit, including CCAR finance regulatory models, as well as wholesale and retail credit models, market risk, and operational risk models, model performance under stressed environments, and models specifically designed for stress-testing. The role may become more specialised over time but team members must be able to adapt to shifting workloads across areas. Director-level candidates will be expected to manage and supervise a team responsible for validation in a specific asset-class or product group.
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Management (25%)
• Manage and supervise an asset-class group team, as well as model risk analysis and independent review & challenge of methodologies being validated.
• Help to build a team at asset class level, articulating firm’s value, carrying on team’s culture as highly professional and independent model validation group. The role holder will set an example for junior team members as well as work collaboratively and share knowledge across the team.
Technical validation (55 %)
• Personally lead model validation efforts, engaging with model owner and developers to ensure validation expectations around the supply of supporting materials required for validation are clear;
• Perform technical analyses, data analyses, benchmarking, build challenger models (if needed) to support the validation review and challenge process for all new and existing models, to ensure accuracy of existing metrics to the standards required by Group Model Risk Policy and model validation standards and to drive continuous improvements in a full compliance with FRB SR11-7 guidelines ;
• Produce high quality IHC IVU reports and presentations for relevant model governance committees, with a particular focus on noting limitations, weaknesses and assumptions
• Support IVU management in their participation in different models committees, particularly the
IHC Model Risk Committee and in conjunction with regulatory meetings.
Stakeholder interaction and Model Governance (20%)
• Contribute to ensuring that the IVU team provides high quality input and guidance to modellers across the bank to achieve consistency of standards and compliance with internal and external requirements;
• Ensure open, transparent, proactive and timely interaction with major stakeholders (subject matter experts, model owners/developers) in alignment with Barclays Values and Behaviour principles
• Ensure that the Group Model Risk Policy, IHC Model Risk Standards and other relevant requirements are upheld
o Risk and Control: All Barclays colleagues have to ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Barclays Policies and Policy Standards
Your Skills and Qualifications will include:
o Basic Qualifications:
o 4-year college degree
o Master’s in a quantitative subject such as Math, Physics, Operational Research, Economics or Finance, or a track record of performance that demonstrates this ability
o 10+ years in a quantitative role within risk management (credit/market/ operational), finance and/or project management in a financial institution, including experience in either model development or in model validation
o 5+ years of Pricing model experience
o Preferred Qualifications
o Able to produce high quality written communication including reviews of models, risk policies, and presentations for technical and non-technical audiences.
o Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily credit and market risk
o Knowledge of computing and scripting languages
o Ability to manipulate large data sets
o Familiarity with CCAR requirements, including governance and documentation standards
o Beyond risk management, knowledge in financial projection, capital management and treasury are highly desirable.
o Team player; organized, self-starter
o Ability to work within a matrixed organization with competing requirements
o Excellent communication and influencing skills
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