Model Risk Manager – (Measurement and Quantification) Model Risk Manager – (Measurement and  …

Barclays
in London, United Kingdom
Permanent, Full time
Last application, 14 Jun 21
Competitive + Benefits
Barclays
in London, United Kingdom
Permanent, Full time
Last application, 14 Jun 21
Competitive + Benefits
As a Barclays Model Risk Manager – (Measurement and Quantification) you’ll join a new independent team responsible for the framework design and end-to-end assessment of model uncertainty at both a model level and in aggregate where multiple models are used within larger frameworks to produce key risk metrics. You’ll be responsible for peer review and challenge of model validation activities to ensure the quality of validations from a technical perspective is in line with expectations/ standards.

What will you be doing?
•    Being responsible for periodic model level uncertainty risk assessment, including end-to-end management of the risk assessment process
•    Designing risk assessment components, analysing risk assessment results and compiling model risk reports/ narrative feeding into requisite reporting channels
•    Portfolio model risk management across designated portfolios, including model inventory analysis & attribution of model outputs to key risk metrics
•    Identification of material model risk drivers at portfolio level, analysis of aggregate impact to key risk metrics from model uncertainties
•    Coordination of discussions with 1st and 2nd line of defence stakeholders to agree on overarching remediation plans, review and approval of management overlays
•    Designing model validation peer-review approach, managing the end-to-end process by utilising other technical resources across designated scope
•    Analysing & reporting results of the review cycles, analysing thematic issues and providing feedback to drive framework reengineering
•    Owning issues, managing to a successful resolution and effective communication to senior stakeholders

What we’re looking for:
•    Highly numerate individual, as demonstrated by a Masters or PhD (or equivalent), in a quantitative subject such as Mathematics, Physics, Engineering, Economics, Finance   
•    Extensive experience in a quant role within risk management or finance with exposure to quant modelling (e.g. through model development, model validation, model use) 
•    Proven track record of problem solving, analytical thinking and ability to design and deliver framework solutions   
•    Excellent communication skills, with the ability to analyse quantitative information, draw conclusions and provide concise commentary to senior management

Skills that will help you in the role:
•    Cross experience across different model types and portfolio level experience
•    Good understanding of model risk management frameworks and associated PRA/ FRB regulatory expectations
•    Experience of Regulatory Capital models (pricing, market risk, front office, etc.) or Credit Risk at a more senior level
•    Alternatively, we will consider Treasury, Liquidity (IRRBB / Stress Testing / Forecasting) experience

Where will you be working?
In the heart of Canary Wharf, our headquarters at Churchill Place boasts onsite amenities such as; a gym, staff restaurant and deli bar, and is easily accessible by tube and bus links. With a population of around 5000 staff the atmosphere is second to none with a real buzz being created around the offices within.

 

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