- Entry level
- No Education
- Salary to negotiate
ERRP - Validation AVP - 90221988
Posting Range:8 Apr 2019 - Ongoing
About Model Risk Management
Model Risk Management (MRM) is a new function reporting directly to the Group Chief Risk Officer and responsible for the identification, assessment, monitoring and management of model risk within Barclays.
Model risk is the potential for adverse consequences from decisions based on incorrect or misused model outputs. Models are defined broadly in the Group Model Risk Policy to encompass all methods, systems or approaches that apply statistical, economic financial or mathematical theories, techniques and assumptions to process inputs into quantitative outputs. MRM is currently responsible for approving in excess of 1800 models. The function covers both the independent validation of Barclays’ models and model governance and controls.
The MRM organization has two main functions which are deployed across the globe:
Independent Validation Unit (IVU)
Model Governance and Controls.
IVU is an independent arm of MRM with accountability to senior management and Board of the firm for the review and challenge of all models and assumptions driven non-model methods (NMM) to ensure accuracy and regulatory compliance of the model risk measurement and management, in support of Barclays customer and commercial agenda. IVU is structured in 4 teams (2 US, 2 UK based) covering all models in Barclays. This role sits in the London Wholesale, Finance/Treasury and Stress testing IVU team and covers mainly IRB and other wholesale models used in RWA and IFRS9 areas mainly.
We are an equal opportunity employer and we are opposed to discrimination on any grounds.
Overall purpose of role
The person filling the role is responsible for being model validator for a wide range of IRB and IFRS9 models as well as support other model validation efforts in MTP, IST, ICAAP and BoE stress testing frameworks. These models/frameworks are crucially important for daily business management of the Barclays Group and its legal entities as well as to meet important regulatory requirements with respect to independent validation of these frameworks.
Perform technical analyses, data analyses, benchmarking, build challenger models (if needed) to support the validation review and challenge process
Role holder must be able to challenge others and be open to challenge
Role holder should seek direction on which issues are material but have own views on this also.
Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions
Self-study of developments in modelling and validation techniques;
Contribution to internal and external technical presentations to enhance the team development.
Stakeholder Management and Leadership
Support team lead in key interface with owners of models
Contribute to ensuring that the MRM 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, and supporting Standards are upheld
Decision-making and Problem Solving
Role requires influencing skills and problem solving abilities to overcome issues inherently arising during the validation process
Risk and Control Objective
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.
Quantitative: Expertise in validation and risk management of models.
Knowledge, understanding and experience in the implementation of regulators’ requirements on model risk management are also a must have.
Qualitative: Leadership abilities and influencing skills
Essential Skills/Basic Qualifications:
Highly numerate, as demonstrated by Honours degree, Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Operational Research, Economics, or Finance
Significant experience of coding in
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.