Barclays - Analyst - Model Validation - Model Risk Management

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

Key Accountabilities;

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.

Desirable/Preferred skills:

- Good understanding of banking environment and credit risk related products.

- Familiarity with FRB/PRA regulations and IFRS9 accounting standards.