Wholesale Model Validation

1 week ago

Delhi, Delhi, India Barclays Full time

Job Title:
Wholesale Model Validation

Location:
Noida

About Barclays
Barclays is a British universal bank. We are diversified by business, by different types of customers and clients, and by geography.

Our businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, global corporate and investment bank, all of which are supported by our service company which provides technology, operations and functional services across the Group.

Risk and Control Objective
Take ownership for managing risk and strengthening controls in relation to the work you do.

Working Flexibly

Hybrid Working

Structured hybrid role:

Introduction:

Successfully balance the following responsibilities:

  • Provide independent review (IR) and challenge of different aspects of model (conceptual soundness, model performance etc.) across different model types: credit risk related regulatory (IRB, IFRS9, CCAR) models for wholesale portfolios, to a high degree of depth, as required by and detailed in the Bank's policies and standards. This role will be part of Group Risk IVU team.
  • Provide input to/support the governance and reporting processes related to model risk management.
What will you be doing?
Model Validation
a. Validate credit risk related regulatory (IRB, IFRS9, CCAR) models for wholesale portfolios by following Bank's policies and standards
b.

Perform technical analysis and/or build alternative benchmarks to new and existing models, in line with the requirements set out in the bank's standards and policies.

c. Mentor/lead a team of 4-5 analysts

  • Governance and Reporting
a. Review regulatory requirements to ensure compliance with different regulatory guidelines e.g. SR 11-7, PRA, FRB.
b. Support the development and review conformance with appropriate policies including Group Model Risk policy.

Stakeholder Management and Leadership

  • Ensure open, transparent, proactive and timely interaction with major stakeholders (model owners/ developers) in alignment with Barclays Values and Behaviour principles
  • Establish and maintain effective working relationship with the key stakeholders across businesses served
Decision-making and Problem Solving

  • Engage with model owner and developers to ensure all supporting material required for validation is received timely, in accordance with the validation schedule
  • Perform technical analysis, benchmarking, build challenger models to support the IVU review and challenge process for all new and existing predictive models, to ensure accuracy of existing risk metrics to the standards required by IVU and to drive continuous improvements in methodologies
  • Produce high quality IVU reports and presentations for relevant model governance committees
  • Support the model management team in tracking actions and the accuracy of Group Model Database (GMD)
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.

Person Specification
Personal attributes essential to performing role including competencies, expertise, knowledge, and experience

Note:
experience requirements must not be in the form of years (minimum or otherwise).

What we're looking for:
Essential

  • Solid understanding of the quantitative techniques used in developing and validating models including credit risk related regulatory (IRB, IFRS9, CCAR, PD, EAD, LGD) models for wholesale portfolios.
  • Strong analytical skills with experience developing or validating credit risk related regulatory (IRB, IFRS9, CCAR, PD, EAD, LGD) models for wholesale portfolios
  • Proven expertise/in depth knowledge of one or more of the following areas of model risk management: CCAR, IFRS9, Basel, PD, EAD, LGD, etc.
  • Handson experience in the use of statistical packages such as SAS, R, Python. Expert user of Microsoft Excel and other Microsoft Office tools.
  • An ability to identify and analyse appropriate external data sources including macroeconomic variables for model development or validation along with good communication and stakeholder management skills.

Preferred:

  • Relevant experience in a modeller/validator role in the financial services industry.
  • Excellent communication and stakeholder management skills
Education

  • Masters in Statistics, Mathematics, Economics, Operational Research, Engineering, MBA


This role is deemed as a Certified role under the PRA & UK Financial Conduct Authority - Individual Accountabilities Regulations and may require the role holder to hold mandatory regulatory qualifications or the minimum qualifications to meet internal company benchmarks.

Where will you be working?
Noida

Be More at Barclays
Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.
Purpose, Values and Mindset
We deploy finance responsibly to support people and businesses, acting with e

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