Market Risk & Counterparty Credit Risk Models Validator - AVP

Join us as a Market Risk & Counterparty Credit Risk Models Validator at Barclays. The Traded Risk Models Independent Validation Unit (IVU) is responsible for the independent quantitative review and validation of traded market risk and counterparty credit risk models and is part of the wider Independent Validation Unit (IVU). You will be primarily responsible for performing and documenting analysis, testing and validation activities for market risk and counterparty credit risk models.

To be successful as a Market Risk & Counterparty Credit Risk Models Validator, you should have:

• MSc or PhD in quantitative finance, mathematics, statistics, physics or engineering.

• Strong and hands-on mathematical skills, including in probability, statistics, differential and integral calculus, linear algebra, stochastic calculus, and numerical methods.

• Strong and hands-on programming skills in languages / packages such as Python or R.

• Ability to conduct independent analysis, testing, and research.

• Stakeholder management skills

Some other highly valued skills may include:

• Strong interpersonal skills and an ability to build and maintain a network of stakeholders across the firm.

• Ability to assess and prioritise model issues in terms of significance and impact.

• Strong document writing skills.

• Ability to simplify and explain complex technical concepts to senior management.

You may be assessed on the key critical skills relevant for success in role, such as risk and controls, as well as job-specific technical skills.

This role is based in London.

Purpose of the role

To validate and approve models for specific usages both at inception and on a periodic basis, and of model changes, as well as conducting annual reviews. 

Accountabilities

• Validation of models for their intended use and scope, commensurate with the complexity and materiality of the models.
• Approval or rejection of a model or usage based on assessment of the model’s conceptual soundness, performance under intended use and the clarity of the documentation of the model’s inherent risks, limitations and weaknesses.
• Assessment of any compensating controls used to mitigate Model risk.
• Documentation of validation findings and recommendations in clear and concise reports, providing actionable insights for model improvement.
• Evaluation of the coherence of model interactions and quality of Large Model Framework aggregate results that generate output for regulatory submissions or management decision making and planning.
• Design of the framework and methodology to measure and, where possible, quantify model risk, including the assessment of framework level uncertainty.

Assistant Vice President Expectations

• To advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness. Collaborate closely with other functions/ business divisions.
• Lead a team performing complex tasks, using well developed professional knowledge and skills to deliver on work that impacts the whole business function. Set objectives and coach employees in pursuit of those objectives, appraisal of performance relative to objectives and determination of reward outcomes
• 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 lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will identify new directions for assignments and/ or projects, identifying a combination of cross functional methodologies or practices to meet required outcomes.
• Consult on complex issues; providing advice to People Leaders to support the resolution of escalated issues.
• Identify ways to mitigate risk and developing new policies/procedures in support of the control and governance agenda.
• Take ownership for managing risk and strengthening controls in relation to the work done.
• Perform work that is closely related to that of other areas, which requires understanding of how areas coordinate and contribute to the achievement of the objectives of the organisation sub-function.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategy.
• Engage in complex analysis of data from multiple sources of information, internal and external sources such as procedures and practises (in other areas, teams, companies, etc).to solve problems creatively and effectively.
• Communicate complex information. 'Complex' information could include sensitive information or information that is difficult to communicate because of its content or its audience.
• Influence or convince stakeholders 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.