Model Risk Measurement & Quantification- AVP

Job Description

Purpose of the role

To design frameworks, provide governance of model risk, controls, infrastructure and reporting as well as providing oversight for compliance of the Model Owner community with the Model Risk Management framework 

Accountabilities

• Development, maintenance and management of a globally consistent model risk framework that complies with the firm’s major regulatory requirements.
• Delivery of model inventory and workflow, including associated data quality & reporting and oversight of Quantitative Processes.
• Assessment of the controls employed by the various areas of Barclays that own models to determine their level of compliance with and implementation of the Model Risk Framework.
• Establishment of the Model risk appetite. Model risk tolerance reports are provided to the respective Group level and legal entity committees where relevant.
• Management of the strategic Validation Center of Excellence, performing independent quality assurance to assess whether validation outcomes are well supported by IVU’s assessment of the model.
• Oversight of regulatory and audit responses and interactions within MRM.

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.

Step into the role of Model Risk Measurement & Quantification- AVP. At Barclays, we are more than a bank we are a force for progress. You will be responsible for the framework design and end to-end assessment of model uncertainty (at model level & in aggregate where multiple models are used within larger frameworks to produce key risk metrics). You will be responsible for executing / overseeing execution of above activities across designated model portfolios / large model based frameworks. 

To be successful as Model Risk Measurement & Quantification- AVP, you should have experience with:

• Experience in a quantitative role within risk management, finance, or consulting, with exposure to a variety of modelling types (e.g. credit counterparty risk, market risk, pricing, fraud, AML, credit decisioning).    

• Development of model level uncertainty risk assessment, incl. end-to-end management of the risk assessment process, designing risk assessment components, analysing risk assessment results and compiling model risk reports / narrative feeding into requisite reporting channels. 

• Understanding of model limitations and uncertainty stemming from model assumptions and quantification of the associated aggregated model risk.  

• Portfolio model risk management across designated portfolios, including:  model inventory analysis & attribution of model outputs to key risk metrics. Identification of material model risk drivers at portfolio level.

• Analysis of aggregate impact to key risk metrics from model uncertainties and coordination of discussions with 1LOD & 2LOD stakeholders to agree on overarching remediation plans. Review and approval of management overlays and other compensating controls at aggregate level.

• Compilation of overall portfolio / framework assessment documentation & narrative feeding into regulatory submissions and Board packs.

Some other highly valued skills may include:

• Cross experience across different model types.

• Good understanding of model risk management frameworks and associated PRA/FRB regulatory expectations.

• Ensure open, proactive & timely interactions with stakeholders (model owners, developers, validators) & senior management in alignment with Barclays Values & Behaviour principles. 

• Strong facilitation & negotiation skills evidenced through managing and influencing discussions at senior level.

• Ability to work with and in cross-functional and virtual teams across locations. Demonstrable track record of strong team work and delivery, within and across departmental teams. 

• Ability to think strategically and understand the whole portfolio of MRM activities. 

• The role holder will have a highly rational & logical thought process with a strong attention to detail. 

• Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Barclays Policies and Policy Standards.

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.

This role is based in our Noida office.