Talent Acquisition at Barclays
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Barclays - Analyst - Model Validation - Model Risk Management (1-4 yrs)
To successfully balance the following responsibilities:
1. Provide independent review (IR) and challenge of all quantitative and qualitative processes categorized as models (AIRB, IFRS9 Wholesale Credit Risk model, Stress Test etc.) under the MRM framework to a high degree of depth, as required by and detailed in the Banks policies and standards. This role will be part of Group Risk IVU team.
2. Provide input to/support the governance and reporting processes related to model risk management.
3. Exposure/interaction with Model/Business Owners (e.g. wholesale portfolio) and gain business and regulatory insights
1. Independent review and challenge [80%]
a. Work on independent review of models across different spectrum of retail and wholesale portfolios
- Capital Models - Models used to calculate Banks capital requirement as per BASEL guidelines
- IFRS9 Models - International Financial Reporting Standard to calculate Expected Loss
- Stress Test Models Climate Risk Stress Test, Internal Stress Test, Medium Term Plan, Prudential Regulation Authority (PRA) or Bank of England (BoE) Stress Test
- Diverse Banking Portfolios - for different banking products e.g. Wholesale (Corporate and Investment Bank) and Retail portfolios (Credit Card, Home loan etc.).
- Review regulatory requirements to ensure compliance with Basel III rules in IRB portfolios and support roll out portfolios moving to IRB.
b. Perform technical analysis and/or build alternative benchmarks to new and existing models, in line with the requirements set out in the banks standards and policies.
2. Governance and Reporting [20%]
a. Support the development and review conformance with appropriate model risk policies, including Group Model Risk policy.
Essential Skills/Basic Qualifications:
- Masters in Statistics, Mathematics, Economics, Physics, Operational Research, Finance, Financial Engineering
- Knowledge of CRD IV, familiarity with the IFRS9 ECL estimation framework and Stress Test framework
- Strong analytical and business skills
- Sharp focus on gaps/issues identification and passionate about problem solving
- Strong communication (Oral as well as written), listening and articulation skills
- An ability to identify and analyse appropriate external data sources for model development or validation.
- Good understanding of banking environment and credit risk related products.
- Familiarity with FRB/PRA regulations and IFRS9 accounting standards.
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