Economic Capital and non-Traded Market risk Models Validation
4 weeks ago
You will join a high-performing team where collaboration and knowledge-sharing are highly encouraged. You will interact with various stakeholders, ranging from model owner, model developer, model control officer, in/external auditor to regulators. Progressively, you will get the opportunity to expand your exposure to cover other areas, such as Climate Risk, and become a key point of contact in a particular area.
This role would suit someone with previous working expertise in economic capital models/validation, such as model specification, model selection, model testing, and/or validation, with a focus on Counterparty Credit and Concentration Credit Risk. Knowledge of a large gamut of Banking Book and Treasury products, relevant pricing models, and both explicit and implicit embedded risks in them, along with a good understanding of Banking Book business, is essential.
You will be highly quantitative with an excellent working knowledge of Financial Mathematics and Statistics with a degree in a quantitative subject (e.g., Math, Engineering, Statistics, Economics with a master's degree or PhD). If you have a good knowledge of the applicable UK, European and US regulations (ICAAP, ILAAP, IRRBB, EBA/BOE/CCAR Stress Testing) and Coding experience using Python/R/SQL/C++ or equivalent language/software, this would be highly desirable.
Barclays is required by law to confirm that you have the Legal Right to Work in any role that you apply for. If you currently hold a work visa sponsored by Barclays, or you would require sponsorship from Barclays, you must declare this as part of your application. Sponsored visas are role and entity specific and any changes must be reviewed. It is important that you ensure you are working on the correct visa at all times. Failure to accurately disclose your visa status or Legal Right to Work may result in your application or any employment offer being withdrawn at any time.
Purpose of the Role
To validate and approve models for specific usages both at inception and on a periodic basis, and of model changes, as well as conducting annual reviews.
Approval or rejection of a model or usage based on assessment of the model's conceptual soundness, performance under intended use, and the clarity of the documentation of the model's inherent risks, limitations, and weaknesses.
Assessment of any compensating controls used to mitigate Model risk.
Documentation of validation findings and recommendations in clear and concise reports, providing actionable insights for model improvement.
Evaluation of the coherence of model interactions and quality of Large Model Framework aggregate results that generate output for regulatory submissions or management decision-making and planning.
Design of the framework and methodology to measure and, where possible, quantify model risk, including the assessment of framework level uncertainty.
Vice President ExpectationsAdvise key stakeholders, including functional leadership teams and senior management on functional and cross-functional areas of impact and alignment.
Manage and mitigate risks through assessment, in support of the control and governance agenda.
Demonstrate leadership and accountability for managing risk and strengthening controls in relation to the work your team does.
Demonstrate comprehensive understanding of the organization's functions to contribute to achieving the goals of the business.
Collaborate with other areas of work, for business-aligned support areas to keep up to speed with business activity and the business strategies.
Create solutions based on sophisticated analytical thought comparing and selecting complex alternatives. In-depth analysis with interpretative thinking will be required to define problems and develop innovative solutions.
Adopt and include the outcomes of extensive research in problem-solving processes.
Seek out, build, and maintain trusting relationships and partnerships with internal and external stakeholders to accomplish key business objectives, using influencing and negotiating skills to achieve outcomes.
All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge, and Drive – the operating manual for how we behave.
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