As a Barclays Head of IRRBB, you will be responsible for Liquidity models validations. The models are used for day-to-day running of the bank as well as part of different model frameworks (e.g. ILAAP, Internal Stress Testing / BOE Stress Testing). You will combine qualitative, quantitative and managerial skills within the team to propose approval decisions, identify key issues, viable remediation and communicate results at different forums with exposure to senior stakeholders.
Barclays is a British universal bank. We are diversified by business, by different types of customers and clients, and by geography. Our businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, global corporate and investment bank, all of which are supported by our service company which provides technology, operations and functional services across the Group.
We are an equal opportunity employer and we are opposed to discrimination on any grounds.
We are currently operating in a hybrid working environment, meaning that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. Please discuss the detail of the working pattern options for the role with the hiring manager.
What will you be doing?
• Providing detailed knowledge of internal Policies and Standards defining and supporting the assessment of Model risk
• You will be accountable for the development and progression of the team in terms of the level of expert and business knowledge, efficiency and quality of the produced materials
• Leading validations of models looking into data quality, assumptions, limitations, model design, implementation, performance results and compliance with regulation
• Building challenger models (if needed) to support the validation review and challenge process for all new and existing models
• Underlying work will require details examination of data, documents and coding knowledge
• Producing high quality model validation reports and presentations to satisfy relevant model governance requirements, with a focus on noting limitations, weaknesses and assumptions
• Reviewing reports and presentations coming from the team to ensure high level of standard, with reports containing both qualitative and conceptual challenges to models
• Distinguishing which issues are material, managing model risk accordingly as well as creating and maintaining correct information in the Group model database for validated models
What we're looking for:
• Highly quantitative with excellent working knowledge of Financial Mathematics and Statistics
• A degree in a quantitative subject (e.g. Math, Engineering, Statistics, Economics with quantitative minor or Master's degree)
• Knowledge of large gamut of financial products, explicitly their trading and settlement procedures and practices together with all the resulting liquidity flows.
• Experience in model specification, model selection, model testing and / or validation roles
Skills that will help you in the role:
• Solid knowledge of Banking Book business and experience with behavioural modelling
• Knowledge of applicable European and US Liquidity regulation is a bonus
• Experience of coding using Matlab / R / SQL / C++ / Python or equivalent language / software
• High organisation skills in terms of documentation and follow through with excellent writing, reviewing / editing and presentation skills
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.