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20/05 Priya
Associate Consultant at Black Turtle

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AVP - Statistical Modeling/CCAR/IFRS9 Modeling - Banking Domain (4-8 yrs)

Noida Job Code: 823420

AVP - Statistical Modeller- QA ALM (Asset Liability Management)


Retail / Wholesale Treasury :

- Support, develop, calibrate and monitor statistical balance sheet projection models required by Barclays Treasury.


- The primary role of the Asset & Liability management team is to develop and deploy industry leading statistical models for balance sheet evolution under different macro-economic scenarios.


- The projection models apply across the whole of Barclays- bank balance sheet.


- These models are key components for prepayment modelling for Interest Rate Risk on the Banking Book (IRRBB), lifetime expected loss calculation for IFRS9, Comprehensive Capital Analysis and Review (CCAR) and Barclays Funds Transfer Pricing system.

Education : Degree(s) in a quantitative discipline such as Mathematics, Statistics or Econometrics

Software/Tools : Statistical tools like Python, R for 1+ years

Work Experience :

Should have experience in :

- Statistical techniques like regression, time series, forecasting and predictive analytics

- Experience in quantitative finance

Others :

- Strong knowledge of statistics

- Strong written and verbal communication skills

- Knowledge of relevant regulatory guidelines for CCAR, IFRS9 and IRRBB.

- Knowledge of SQL

INTERNAL :

- Preferably, familiarity with bank stress testing including loss and risk estimation techniques is preferred

- Knowledge of SAS, R, SQL and other equivalent analytical tools is a plus

- Ability to comprehend intricate and diverse range of business problems and analyze them with limited or complex data and provide a feasible solution framework.

- Excellent written and verbal communication skills. Ability to develop and effectively communicate complex concepts and ideas

- Ability to work in cross-functional teams. Strong interpersonal skills and drive for success

Women-friendly workplace:

Maternity and Paternity Benefits

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