Credit Risk Modelling (AVP) Credit Risk Modelling (AVP) …

Barclays
in Brixworth, England, United Kingdom
Permanent, Full time
Last application, 22 Jan 20
Negotiable
Barclays
in Brixworth, England, United Kingdom
Permanent, Full time
Last application, 22 Jan 20
Negotiable
The AVP role is responsible for the development, implementation support and ongoing analysis and maintenance of models for the Barclaycard UK portfolio. The model scope includes impairment, regulatory capital, stress testing, credit decision (e.g. underwriting) and risk-reward models.

Overall purpose of role

The AVP role is responsible for the development, implementation support and ongoing analysis and maintenance of models for the Barclaycard UK portfolio. The model scope includes impairment, regulatory capital, stress testing, credit decision (e.g. underwriting) and risk-reward models.

Key Accountabilities

  • Work with stakeholders across functions, driving value by developing innovative modelling and analytical solutions for credit risk management.
  • Develop best-in-class models for use in the retail lending business, specifically for the market-leading Barclaycard UK, including calibrations of existing models and associated analytics.
  • Seek insights and recommendations for model, strategy and process improvement.
  • Ensure that all models are compliant with internal and external requirements, including documentation standards.
  • Liaise with systems/infrastructure teams to user-test and implement models successfully.
  • Work closely with the QA Model Monitoring function to ensure that model performance is appropriately tracked and assessed.
  • Maintain awareness of the wider commercial environment and a good sense of business drivers affecting the Bank's balance sheet and P&L.
  • Liaise with Model Owners and other key stakeholders to continually improve models in use.

Stakeholder Management and Leadership

  • Support various stakeholders such as Risk, Finance and Product through model development and deployment.
  • Strive to establish and maintain a reputation for strong, consistent and value-adding support among key model and analytics stakeholders.

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 standards.

Person Specification

  • Passionate about data analytics and its commercial applications
  • Possessing a data-driven and results-orientated mind-set
  • A self-starter, able to work proactively and independently when needed
  • Resilient, overcoming challenges resourcefully and meeting timelines under pressure
  • Confident enough to challenge constructively where appropriate
  • Flexible enough to operate in a fast-paced, changing commercial and regulatory environment
  • A team player, willing to help others freely and to seek help when needed
  • Able to maintain good relationships with a variety of stakeholders across functions and geographic locations

Essential Skills/Qualifications

  • A university degree or equivalent in statistics, mathematics, operations research or another quantitative area; or relevant industry experience
  • 2+ years of relevant industry experience
  • Experience in statistical model development
  • Proficiency in SAS programming and Excel manipulation
  • Good understanding of standard model risk controls throughout the development lifecycle, including best coding practice and clear documentation
  • Good communication, negotiation and influencing skills

Desirable Skills/Qualifications

  • Experience and familiarity with capital and impairment modelling techniques
  • Experience and familiarity with industry-standard retail credit risk decision modelling techniques
  • Up-to-date working knowledge of regulatory requirements relevant to UK retail credit risk models
  • Proficiency in analytical programming with Python
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