Model Risk AVP

Job Description

Purpose of the role

To validate and approve models for specific usages both at inception and on a periodic basis, and of model changes, as well as conducting annual reviews. 

Accountabilities

• Validation of models for their intended use and scope, commensurate with the complexity and materiality of the models.
• Approval or rejection of a model or usage based on assessment of the model’s conceptual soundness, performance under intended use and the clarity of the documentation of the model’s inherent risks, limitations and weaknesses.
• Assessment of any compensating controls used to mitigate Model risk.
• Documentation of validation findings and recommendations in clear and concise reports, providing actionable insights for model improvement.
• Evaluation of the coherence of model interactions and quality of Large Model Framework aggregate results that generate output for regulatory submissions or management decision making and planning.
• Design of the framework and methodology to measure and, where possible, quantify model risk, including the assessment of framework level uncertainty.

Assistant Vice President Expectations

• To advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness. Collaborate closely with other functions/ business divisions.
• Lead a team performing complex tasks, using well developed professional knowledge and skills to deliver on work that impacts the whole business function. Set objectives and coach employees in pursuit of those objectives, appraisal of performance relative to objectives and determination of reward outcomes
• If the position has leadership responsibilities, People Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.
• OR for an individual contributor, they will lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will identify new directions for assignments and/ or projects, identifying a combination of cross functional methodologies or practices to meet required outcomes.
• Consult on complex issues; providing advice to People Leaders to support the resolution of escalated issues.
• Identify ways to mitigate risk and developing new policies/procedures in support of the control and governance agenda.
• Take ownership for managing risk and strengthening controls in relation to the work done.
• Perform work that is closely related to that of other areas, which requires understanding of how areas coordinate and contribute to the achievement of the objectives of the organisation sub-function.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategy.
• Engage in complex analysis of data from multiple sources of information, internal and external sources such as procedures and practises (in other areas, teams, companies, etc).to solve problems creatively and effectively.
• Communicate complex information. 'Complex' information could include sensitive information or information that is difficult to communicate because of its content or its audience.
• Influence or convince stakeholders to achieve outcomes.

All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.

Join us as a Model Risk AVP where you will be responsible for the validations of Finance Stress Testing models used for the bank’s internal capital assessment - with a key focus on Balance, Revenues and Behavioural profile projections  and a subset of non-traded market risk models on the banking book (IRRBB, Fair Valuation, Valuation in Resolution) used for day-to-day running of the bank as well as part of different model frameworks (e.g. ICAAP, Internal Stress Testing/EBA/BOE/CCAR Stress Testing, Value and Earnings metrics for IRRBB and liquidity risk models). Your role will combine qualitative, quantitative and managerial skills to work with the team to propose approval decisions, identify key issues and viable remediation actions and communicate results at different forums with exposure to senior stakeholders. Your role sits within a numerate team where knowledge sharing is highly promoted.

Some Key Accountabilities:

• Detailed knowledge and understanding of internal Policies and Standards defining and supporting the assessment of Model risk.
• Validation and lead validation of models looking into data quality, assumptions and limitations, model design and conceptual soundness, implementation, performance results, benchmarking, compliance with regulations.
• Build challenger models (if needed) to support the review and challenge during the validation process for all new and existing models.
• Underlying work will require detailed examination of data, documents, and coding knowledge.
• Ensure production of high-quality model validation reports and presentations to satisfy relevant model governance requirements, with a particular focus on noting limitations, weaknesses, and assumptions.
• Reports will also contain qualitative and conceptual challenges to models as appropriate.
• You must be able to assess materiality of issues and manage the model risk and escalation appropriately and independently.
• Create and maintain the correct information in the Group model database for the set of validated models and collaborate with the Model Governance Controls team as required to produce accurate reporting on models status.
• Collaborate with the Model Governance team to review MIT (Model Identification Tool) outcomes and NAPA (New and Amended Product Approval) proposals impacting models in scope of the role.

To be successful in this role you should have experience with:

• Highly quantitative with excellent working knowledge of Financial Mathematics and Econometrics or Statistics; a degree in quantitative subject (e.g. Math, Engineering, Statistics, Economics with master’s degree).
• Knowledge required:
  • Strong in timeseries concepts and models, such as ARIMA, VAR, Cointegration and Error Correction models.
  • Understanding of risk metrics like Value-at-risk (VaR), both historical and monte-carlo simulation type for multivariate models.
  • Understanding of pricing of financial products: eg bond pricing, swaps, options, greeks, etc.
• Working expertise in non-Traded Market Risk models/validation with a focus on market risk elements of IRRBB, liquidity and FVOCI models. The team also works in validations on pension risk, hedge accounting and PVA type of models, so an understanding of these models would be a bonus.
• Experience in data quality assessment, model specification, model selection, model testing and/or validation roles.
• Coding experience using R/Python or equivalent language/software.
• Highly organised in terms of documentation and follow through. Literate with excellent writing, reviewing/editing and presentation skills.
• Good communication and influencing skills.
• Self-motivated team player with a strong sense of ownership, able to identify existing gaps and proposing continuous improvements.

Some other highly valuable skills include:

• Good knowledge of at least some of the applicable UK, European and US regulations (ICAAP IRRBB, ILAAP Liquidity, hedge accounting).
• Knowledge of the Banking Book, its businesses and products.
• A PhD in a quantitative subject (e.g. Math, Engineering, Statistics or Economics)

You may be assessed on the key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen strategic thinking and digital and technology, as well as job-specific technical skills.

Location: London