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Model Risk Manager - (Measurement and Quantification)

Employer
Barclays
Location
UK
Salary
Competitive
Closing date
23 Jun 2021

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Sector
Accountancy
Contract Type
Permanent
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Job Details

What will you be doing?
• Being responsible for periodic model level uncertainty risk assessment, including 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
• 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
• Coordination of discussions with 1st and 2nd line of defence stakeholders to agree on overarching remediation plans, review and approval of management overlays
• Designing model validation peer-review approach, managing the end-to-end process by utilising other technical resources across designated scope
• Analysing & reporting results of the review cycles, analysing thematic issues and providing feedback to drive framework reengineering
• Owning issues, managing to a successful resolution and effective communication to senior stakeholders

What we're looking for:
• Highly numerate individual, as demonstrated by a Masters or PhD (or equivalent), in a quantitative subject such as Mathematics, Physics, Engineering, Economics, Finance
• Extensive experience in a quant role within risk management or finance with exposure to quant modelling (e.g. through model development, model validation, model use)
• Proven track record of problem solving, analytical thinking and ability to design and deliver framework solutions
• Excellent communication skills, with the ability to analyse quantitative information, draw conclusions and provide concise commentary to senior management

Skills that will help you in the role:
• Cross experience across different model types and portfolio level experience
• Good understanding of model risk management frameworks and associated PRA/ FRB regulatory expectations
• Experience of Regulatory Capital models (pricing, market risk, front office, etc.) or Credit Risk at a more senior level
• Alternatively, we will consider Treasury, Liquidity (IRRBB / Stress Testing / Forecasting) experience

Where will you be working?
In the heart of Canary Wharf, our headquarters at Churchill Place boasts onsite amenities such as; a gym, staff restaurant and deli bar, and is easily accessible by tube and bus links. With a population of around 5000 staff the atmosphere is second to none with a real buzz being created around the offices within.
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