ICAAP and CCR Stress testing

Job Description

Purpose of the role

To assess the capital requirements of the bank's credit portfolio under various economic and risk scenarios and design and execute stress testing exercises to measure the potential impact of adverse events on the bank's credit losses, risk-weighted assets, and capital adequacy

Accountabilities

• Development and maintenance of stress testing models and methodologies for different credit portfolio segments.
• Designing and execution of stress testing scenarios incorporating diverse macroeconomic factors, industry trends, and portfolio-specific risks.
• Analysis of the efficiency of capital allocation across different business lines and products.
• Analysis and interpretation of stress test results, including forecasting expected credit losses, risk-weighted assets, and capital needs.
• Management, and analysis of large datasets relevant to credit risk and stress testing.

Assistant Vice President Expectations

• To advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness. Collaborate closely with other functions/ business divisions.
• Lead a team performing complex tasks, using well developed professional knowledge and skills to deliver on work that impacts the whole business function. Set objectives and coach employees in pursuit of those objectives, appraisal of performance relative to objectives and determination of reward outcomes
• If the position has leadership responsibilities, People Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.
• OR for an individual contributor, they will lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will identify new directions for assignments and/ or projects, identifying a combination of cross functional methodologies or practices to meet required outcomes.
• Consult on complex issues; providing advice to People Leaders to support the resolution of escalated issues.
• Identify ways to mitigate risk and developing new policies/procedures in support of the control and governance agenda.
• Take ownership for managing risk and strengthening controls in relation to the work done.
• Perform work that is closely related to that of other areas, which requires understanding of how areas coordinate and contribute to the achievement of the objectives of the organisation sub-function.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategy.
• Engage in complex analysis of data from multiple sources of information, internal and external sources such as procedures and practises (in other areas, teams, companies, solve problems creatively and effectively.
• Communicate complex information. 'Complex' information could include sensitive information or information that is difficult to communicate because of its content or its audience.
• Influence or convince stakeholders to achieve outcomes.

All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.

Embark on a transformative journey as an ICAAP and CCR Stress testing at Barclays, where you'll spearhead the evolution of our digital landscape, driving innovation and excellence. You'll harness cutting-edge technology to revolutionize our digital offerings, ensuring unparalleled customer experiences. The role holder will work both independently and as part of a team to provide expert analysis and commentary on the bank's wholesale credit and counterparty credit risk profile and internal capital assessment. This is an exciting opportunity for someone who wants to work with, Treasury and Capital Management, Trading and Banking teams to understand the risk on wholesale credit risk (WCR), derivative and financing transactions. To be a successful ICAAP and CCR Stress testing you should have experience with:

• Strong track record in risk management.
• Detailed understanding of CCR and WCR models (EEPE, PFE, RWA, LGD, EAD and Economic Capital) and capital calculations.
• Detailed knowledge of Financial Markets, Wholesale Credit and Derivative Products and strong analytical skills with a high attention to detail.
• Experience in dealing with large and complex data structures and stress testing methodologies.

Some other highly valued skills may include:

• Related professional qualifications (e.g. FRM, CFA, CQF).
• Bachelor's degree in Finance, Engineering or a Mathematical or Quantitative related field.
• Regulatory knowledge (CRR, PRA, EBA).
• Knowledge of econometrics methods used in risk modelling.

You may be assessed on the key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen strategic thinking, as well as job-specific technical skills.

The job location of this role is Mumbai.

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