Our client is a respected Clearer with an enviable presence in the UK & global footprint. Due to continued growth they are seeking an experienced Liquidity Model Developer to work as part of a team responsible for liquidity stress tests, limits & reports.
This is a newly created role which is part of a wider initiative across the liquidity function to transform the Bank's capabilities. As such, this represents an exciting opportunity to be part of a significant business and technology change programme.
The role centres on the implementation of liquidity stress tests or developing new assumptions and methodologies for individual products and business lines or new scenarios. Projects can also focus on documenting / remediating existing stress models, and ensuring ongoing compliance with regulators. All projects typically involve initial problem-solving and analysis to propose a new approach, typically developed in close collaboration with the relevant businesses and interaction with regulators.
The ideal candidate will have liquidity risk experience as a Modeller or Validator & will have programming experience, preferably of Python or alternatively similar programs such as R or SQL. You will be able to independently carry projects forwards & will hold excellent communication/stakeholder management skills. In return the Bank can offer true scope for progression & an excellent package. As the Liquidity Model Developer your responsibilities and duties will include:
- Independently drive forward projects to improve the liquidity risk framework, such us calibrating new stress models.
- Producing and maintaining up to date model documentation for liquidity stress models.
- Configuring and updating liquidity stress models within the strategic stress platform
- Involvement in Treasury change initiatives including working with IT in the automation of liquidity stress testing.
- Reviewing and updating the ILAAP documentation on a yearly basis.
- Producing bespoke stress scenarios requiring data mining and analysis.
- Interaction with Stakeholders will happen at various levels:
o Front Office / Business Managers: to understand products/clients behaviours
o Treasury: to socialise proposed changes in stress methodologies and support bespoke analyses and scenarios
o Independent Validation Unit: for review and challenge of risk methodologies
o Infrastructure teams: to support the enhancement of the risk platform for liquidity calculations
o Treasury Risk Oversight team: to make sure risk methodologies are implemented consistently across the different Barclays entities
o Models and Infrastructure teams: in UK and US to make sure risk methodologies are implemented consistently across the different Barclays entities
o Regulators/Audit: to support review of methodologies and implementations
The candidate is required to work in an environment where data is fragmented across different systems and, to determine the nature of the risk under observation. Therefore, data manipulation and assumptions are expected in order to successfully perform stress analysis.
The candidate is also expected to work independently on data sourcing, leading discussions with data providers and the business, with the ultimate goal to enhance the existing framework via capturing new products. Required skills & experience of the Liquidity Model Developer
Essential Skills/Basic Qualifications:
- Highly organised proactive individual, with strong attention to detail, and effective, clear communication skills, both written and oral.
- Awareness of need to escalate effectively in timely manner.
- Given the wide nature of this role, quick grasp of new concepts.
- Ability to work under pressure and adhere to strict deadlines.
- Excellent analytical skills in terms of determining the appropriate analysis to undertake and its execution.
- Excellent PC skills (including Excel, Word, PowerPoint, etc).
- Ability to think creatively and to challenge the norm.
- Strong leadership and interpersonal skills.
Desirable skills/Preferred Qualifications:
- Degree in quantitative discipline.
- Programming experience (e.g. Python/R/SQL).
- Experience of working in liquidity risk.
- Strong documentation skills.
For more information about the Liquidity Model Developer role get in touch today.
- Masters in quantitative discipline (e.g. Mathematics/Computer Science).
- Understanding of derivatives, secured and unsecured products.
- Experience of model development, model lifecycling and model monitoring.
- Experience of risk monitoring and control frameworks.