Model Risk Measurement & Quantification-Vice President @ Barclays

Finance & Banking (1)

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.

Vice President Expectations

To contribute or set strategy, drive requirements and make recommendations for change. Plan resources, budgets, and policies; manage and maintain policies/ processes; deliver continuous improvements and escalate breaches of policies/procedures..
If managing a team, they define jobs and responsibilities, planning for the department’s future needs and operations, counselling employees on performance and contributing to employee pay decisions/changes. They may also lead a number of specialists to influence the operations of a department, in alignment with strategic as well as tactical priorities, while balancing short and long term goals and ensuring that budgets and schedules meet corporate requirements..
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 be a subject matter expert within own discipline and will guide technical direction. They will lead collaborative, multi-year assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will train, guide and coach less experienced specialists and provide information affecting long term profits, organisational risks and strategic decisions..
Advise key stakeholders, including functional leadership teams and senior management on functional and cross functional areas of impact and alignment.
Manage and mitigate risks through assessment, in support of the control and governance agenda.
Demonstrate leadership and accountability for managing risk and strengthening controls in relation to the work your team does.
Demonstrate comprehensive understanding of the organisation functions to contribute to achieving the goals of the business.
Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategies.
Create solutions based on sophisticated analytical thought comparing and selecting complex alternatives. In-depth analysis with interpretative thinking will be required to define problems and develop innovative solutions.
Adopt and include the outcomes of extensive research in problem solving processes.
Seek out, build and maintain trusting relationships and partnerships with internal and external stakeholders in order to accomplish key business objectives, using influencing and negotiating skills 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- VP. 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- VP, you should have experience with:

Extensive 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.

Model Risk Measurement & Quantification-Vice President

Barclays

Job Description

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