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In Risk Barclays develops, recommends, and implements controls and cost-effective approaches to minimise Barclay's risks, identifies and analyses potential sources of loss to minimise risk and estimate the potential financial consequences of an occurring loss. Join us as a Model Owner Delegate - VP. The role requires close collaboration with the Model Owner and the heads of various departments including Credit Risk, Quantitative Analytics, Front Office and Technology to manage our extensive and highly material suite of wholesale credit risk models (PD, EAD, LGD) ensuring that both the business and regulatory risk arising from these models and associated systems are effectively controlled and the models perform as required. The successful applicant will lead selected activities across our multi-year wholesale credit risk IRB models replacement programme as well as supporting the Model Owner by taking ownership of day to day aspects of managing our current inventory of credit models.
Job Responsibility
Working with the Model and Rating System Owners and other key partners to deliver new IRB models and associated systems, in line with commitments made to the regulator(s)
Managing and maintaining the current model inventory in line with Model Risk Policy, including presenting at senior models and rating system related committees
Keeping abreast with regulatory developments, proactively responding to any implications for IRB modelling
Sponsoring/supporting other non-model, business change projects that may impact the firm's IRB Permissions
Developing and maintaining a strong network and close working relationships with key stakeholders across the BI businesses and also with the functional areas, to ensure best in class and consistent approaches are used across the firm
Requirements
Excellent written and verbal communication skills, able to digest and convey complex information effectively
Proven problem solving, self-motivation and decision-making skills, able to break down complex issues and think creatively to deliver practical solutions
A working knowledge of statistical models such as linear and logistic regression and associated statistical tests, gained through suitable experience in prior roles managing/developing related models
Strong understanding of the fundamentals of Wholesale Credit Risk and the Internal Ratings Based approach to RWA measurement
Strong managerial and collaborative skills, inspiring and encouraging personal excellence within and outside the team
Post Graduate or Masters degree required
Quantitative academic and/or a professional background with suitable and directly relevant experience in developing or validating empirical models (ideally in wholesale credit context)
Understand the business portfolios within which those models are used