Role PurposeRisk is establishing a dedicated team of Model Owners who will be responsible for a portfolio of PD, EAD and LGD models used in the management of Wholesale Credit Risk globally.
The role and that of the wider team is to be responsible for all aspects of model ownership. This includes oversight and accountability for model development, documentation, periodic review and validation, regulatory compliance and approval, implementation and monitoring.
The Bankuses models to support a broad range of activities, including formulating business strategies, informing business decisions, identifying and measuring risks, valuing exposures, conducting stress testing, assessing adequacy of capital, managing client assets, measuring compliance with internal risk limits, maintaining the formal control apparatus of the bank, meeting financial and regulatory reporting and disclosure requirements.
The role is essential to the effective management of Wholesale Credit model risk and supports the firm's key business, risk management and regulatory priorities.
The role reports to the Managing Director responsible for the ownership of Wholesale Credit default risk models
Key accountabilities are to implement the requirements of the Group Model Risk Policy, requiring close liaison with the following:
oModel Development/Quantitative Analytics
oIndependent Validation Unit
oRisk Reporting/Information Services
The team is being created to adopt and centralize model ownership responsibilities that are currently devolved across the Risk department. The objective is to become a centre of excellence in all aspects of wholesale risk model ownership within Barclays International.
Key success factors will include effective coordination with subject matter experts from Risk on the client portfolios in scope, together with senior front office/business representatives. These will typically be colleagues at Director and Managing Director level. In this regard the role will require strong analytical, communication, teamwork and influencing skills.
Portfolios in scope comprise both new models under development and existing models in production. For new model builds, the role will require skills in project management.
The role relies on the support of a number of shared services teams, notably for model development, validation and monitoring.
Specific responsibilities include:
oReview and approval of model development materials for submission to independent validation.
oModel documentation to required regulatory standards, at inception and ongoing.
oMonitoring model use and implementation.
oReview of model performance, calibration, back testing and data quality.
oRemediation of model limitations, including proposals for overlays and adjustments.
oIdentification of required regulatory approvals.
oPeriodic attestation of regulatory compliance.
Bachelor's degree in a quantitative subject (e.g., mathematics, sciences, finance, engineering, economics or IT).
At least 7 years of experience in a risk management or similar role at large financial institutions or consultancies.
12+ years of overall experience in financial services or consultancies
Preferred Qualifications:Strong command of wholesale PD, EAD and LGD modelling approaches and related statistical techniques.
Knowledge of key regulatory frameworks, specifically CRR/CRD IV. Experience of AIRB model submission and approval would be an asset.
Effective communication skills across a range of forums, both written and oral, and to senior audiences both internal and external.
Strong teamwork and collaboration skills, with capacity to build and maintain effective working relationships across internal functions in addition to direct reporting line.