- Entry level
- No Education
- Salary to negotiate
Counterparty Credit Risk AVP - 90225342
Posting Range:6 Mar 2019 - Ongoing
Job Title Quantitative Analyst, Credit Risk Models AVP
Our Risk professionals take the lead in addressing issues including the potential implications of an economic downturn or financial crime, and in advising our business leaders in making measured decisions. They help us to provide peace of mind for Barclays’ Retail customers by protecting their assets and investments, whilst also protecting the transactions of our Barclaycard customers wherever they are in the world. In this role the AVP will focus on enhancing model monitoring of the existing stress testing models and on the implementation of a strategic alternative model for stress testing.
What will you be doing?
• Contribute to the formulation of quantitative modelling methodology enhancements ideas, and related planning and prioritisation
• Devise a testing approach of a new model/new model component, execute the tests, discuss results with stakeholders, and present the approach and findings to stakeholders
• Perform ad hoc quantitative market or portfolio risk analysis to inform key model metholology choices
• Identify, evaluate, quantify and document the assumptions and limitations of the model
• Devise, present, negotiate, implement and periodically execute any quantitative model monitoring controls where required, including making a Post Model Adjustments (PMA)
• Convince key stakeholders (e.g. model validation team or regulators) of adequacy of the proposed model monitoring controls
• Provide support to RMG colleagues in the context of CCR Annual Model Reviews (AMRs), model (re)documentation, model validation submissions, periodic model monitoring activities, or other governance and control activities.
What we’re looking for:
• Bachelors degree in Finance, Maths, Statistics, Sciences, Engineering or Economics or substantial directly related experience
• Relevant, practical knowledge in mathematical finance (in risk-neutral pricing, and/or real measure simulation), statistics, and CCR exposure and capital metrics, each underpinnend by solid foundational expertise
• Advanced skills in Excel, including VBA for Excel and experience with SQL
Skills that will help you in the role:
• Basic understanding of CCR regulation pertaining to Advanced Model Approval
• Experience with third party data provider systems, such as Bloomberg, Reuters
• Prior role as a model validator, as a front office quant, as a risk analytics quant or as a quantitative CCR manager
Where will you be working?
This role will be based in the Aurora Building, 1 of our 3 modern City Centre locations until our exciting new campus location overlooking the River Clyde at Buchanan Wharf is opened in 2020. Aurora is close to the main stations, other transport links and also benefits from an onsite canteen.
Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.
Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.
We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.
Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility then please discuss this with us.
About the company
Barclays moves, lends, invests and protects money for 48 million customers and clients worldwide.
We have over 325 years of history and expertise in banking. From our beginnings in Lombard Street, London through to the launch of the world’s first ATM and innovative mobile phone payments services, find out more about our achievements to date.
Barclays is a trading name of Barclays Bank PLC and its subsidiaries. Barclays Bank PLC is registered in England and is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. Registered in England. Registered No. 1026167. Registered office: 1 Churchill Place, London E14 5HP.