IRRBB Model Validation Lead

London, United Kingdom
29 Jul 2022
28 Aug 2022
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
As a Barclays IRRBB Model Validation Lead, you will join our Model Risk team, being responsible for the IRRBB (also called Non Traded Market Risk) models validations. This is an exciting opportunity to join a knowledgeable team, where you will be playing a key role leading and combining qualitative, quantitative and managerial skills to work with the team, in order to propose approval decisions, identify key issues and remediation actions, as well as to communicate the results at different forums with exposure to our senior stakeholders.

Barclays is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We offer careers that provide endless opportunity - helping millions of individuals and businesses thrive, and creating financial and digital solutions that the world now takes for granted.

We are currently operating in a hybrid working environment, meaning that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. Please discuss the detail of the working pattern options for the role with the hiring manager.

What will you be doing?
• Defining and supporting the assessment of Model risk, thanks to a gained detailed knowledge and understanding of internal Policies and Standards
• Overseeing the development and progression of the team in terms of level of expertise and business knowledge, as well as quality and efficiency of the produced materials
• Leading Validations of Models looking into data quality, assumptions and limitations, model design and conceptual implementation and results
• Building challenging models and processes, in order to support the validation review of all new and existing models
• Producing high quality model validation reports and presentations to satisfy the relevant model governance requirements, with a particular focus on limitations
• Reviewing the team's reports and presentations to ensure high level of standards are met
• Distinguishing the several different issues and managing the model risks accordingly
• Creating and maintaining the correct information in the Group model database for the set of validated models

What we're looking for:
• Degree or Master Degree in a quantitative subject (e.g. Math, Engineering, Statistics, Economics)
• An IRRBB expert, with an excellent working knowledge of Financial Mathematics and Statistics
• Excellent understanding of model specification, selection and testing
• Highly organised and alliterated, with excellent writing, editing and presenting skills

Skills that will help you in the role:
• Understanding of behavioural modelling
• Experience of coding using Matlab, R, SQL, C++ and Python, or equivalent language and software
• Understanding of applicable European and US IRRBB regulation is desirable but not essential

Where will you be working?
In the heart of Canary Wharf, our headquarters at Churchill Place boasts onsite amenities such as: a gym, staff restaurant and deli bar, and it is easily accessible by tube and bus links. With a population of around 5000 staff the atmosphere is second to none with a real buzz being created around the offices within.

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