Non Traded Models Validation

Job Description

Date live: Jan. 08, 2021Location: NoidaReference Code: 90274681Business Area: COO & FunctionsArea of Expertise: OperationsContract: PermanentJob Title: Non Traded Models Validation Location: NoidaSuccessfully balance the following responsibilities: 1. Provide independent review (IR) and challenge of all quantitative and qualitative processes categorized as models (ILAAP, ICAAP, Credit Risk, Liquidity Risk, IFRS9 Wholesale Credit Risk model, IRRBB etc.) under the MRM framework to a high degree of depth, as required by and detailed in the Bank s policies and standards. This role will be part of Group Risk IVU team. 2. Provide input to/support the governance and reporting processes related to model risk management. 3. Exposure/interaction with Model/Business Owners (e.g. wholesale portfolio) and gain business and regulatory insightsWhat will you be doing 1. Independent review and challenge [80%] a. Work on independent review of models across different spectrum of retail and wholesale portfolios Liquidity Risk Models - Models (LCR, ILAAP) used to calculate Bank s liquidity requirement and survival horizon in adherence to Liquidity Regulatory Requirements Interest Rate Risk in Banking Book (IRRBB) Models models used for management and supervision of interest rate risk Stress Test Models Climate Risk Stress Test, Internal Stress Test, Medium Term Plan, Prudential Regulation Authority (PRA) or Bank of England (BoE) Stress Test Capital Models - Models used to calculate Bank s capital requirement as per BASEL guidelines IFRS9 Models - International Financial Reporting Standard to calculate Expected Loss Diverse Banking Portfolios - for different banking products e.g. Wholesale (Corporate and Investment Bank) and Retail portfolios (Credit Card, Home loan etc.). Review regulatory requirements to ensure compliance with Basel III rules in IRB portfolios and support roll out portfolios moving to IRB. Perform technical analysis and/or build alternative benchmarks to new and existing models, in line with the requirements set out in the bank s standards and policies. b. Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions c. Wholesale portfolio knowledge2. Governance and Reporting [20%] a. Review regulatory requirements to ensure compliance with Basel III rules in IRB portfolios and support roll out portfolios moving to IRB. b. Support the development and review conformance with appropriate policies including Group Model Risk policy.What we re looking for:Experience in a modeller/validator role in the Wholesale industry Strong analytical skills with experience in developing, validating and risk management of models Significant experience of coding in R/Python. Expert user of Microsoft Excel and other Microsoft Office tools. Good communication and influencing skills, ability to produce high quality written communication for technical and non-technical audiences. Sharp focus on gaps/issues identification and passionate about problem solving An ability to identify and analyse appropriate external data sources for model development or validation.Skills that will help you in the role:Good understanding of banking environment and wholesale portfolios. Familiarity with FRB/PRA regulations and IFRS9 accounting standards. Ability to work in a high performing team, and the ability to work and liaise with others in a diverse team. Masters in Statistics, Mathematics, Finance, Economics, Operational Research, PhysicsWhere will you be working NoidaBe More at Barclays At Barclays, each day is about being more as a professional, and as a person. Be More @ Barclays represents our core promise to all current and future employees. It s the characteristic that we want to be associated with as an employer, and at the heart of every employee experience. We empower our colleagues to Be More Globally Connected, working on international projects that improve the way millions of customers handle their finances. Be More Inspired by working alongside the most talented people in the industry, and delivering imaginative new solutions that are redefining the future of finance. Be More Impactful by having the opportunity to work on cutting-edge projects, and Be More Valued for who you are. Interested and want to know more about Barclays Visit home.barclays/who-we-are/ for more details.Our ValuesEverything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.Our DiversityWe aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.Our BenefitsOur customers are unique. The same goes for our colleagues. Thats why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility, then please discuss this with us.More about working at Barclays Be More at Barclays At Barclays, each day is about being more as a professional, and as a person. Be More @ Barclays represents our core promise to all current and future employees. We empower our colleagues to Be More Globally Connected, working on international projects that improve the way millions of customers handle their finances. Be More Inspired by working alongside the most talented people in the industry, and delivering imaginative new solutions that are redefining the future of finance. Be More Impactful by having the opportunity to work on cutting-edge projects, and Be More Valued for who you are. Purpose and Values Wherever we are in Barclays, whatever we do, we are united and guided by one common purpose: creating opportunities to rise. Because we know that when we help our customers, clients, colleagues and society to rise, Barclays will rise with them.Our values of Respect, Integrity, Service, Excellence and Stewardship are fundamental to who we are, and they really matter. They have always shaped the way we ve done things, and they will always shape the way we work and live, now and in the future. Diversity and Inclusion Barclays offers a diverse, inclusive and engaged culture. A place where people can bring their whole selves to work and be respected for who they are, valued for what they do and celebrated for their contribution to our business and our community.We are an equal opportunity employer and opposed to discrimination on any grounds. It is the policy of Barclays to ensure equal employment opportunity without discrimination or harassment on the basis of race, colour, creed, religion, national origin, alienage or citizenship status, age, sex, sexual orientation, gender identity or expression, marital or domestic/civil partnership status, disability, veteran status, genetic information, or any other basis protected by law. Dynamic Working Dynamic Working is a flexible approach to working. Dynamic Working empowers each of us to work in a way that suits ours lives, so we can better serve our customers and clients needs. Whether you have family commitments or you re a carer; whether you need study time or me time, Dynamic Working is designed to help you balance your life.Apply,

Keyskills :
credit riskstress testrisk modelsmusic makingliquidity riskrisk managementmicrosoft excelmicrosoft officebanking productsmodel validationanalytical skills