AVP Model Risk Pricing Validation

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Join us as a "Model Risk pricing Validation speacalist " at Barclays, where you'll spearhead the evolution of our digital landscape, driving innovation and excellence. You'll harness cutting-edge technology to revolutionize our digital offerings, ensuring unapparelled customer experiences.

Barclays is required by law to confirm that you have the Legal Right to Work in any role that you apply for.

If you currently hold a work visa sponsored by Barclays, or you would require sponsorship from Barclays, you must declare this as part of your application. Sponsored visas are role and entity specific, and any changes must be reviewed. It is important to ensure you are working on the correct visa at all times.

Failure to accurately disclose your visa status or Legal Right to Work may result in your application or employment offer being withdrawn at any time.

Location-Mumbai

The Traded Models IVU team is responsible for the quantitative review and challenge across EoD pricing models, market risk pricing models, counterparty credit risk pricing models and related finance models and is part of the wider IVU team.

Essential Skills/Basic Qualifications:

• The ideal candidate will have a postgraduate level education in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance.
• The ideal candidate will have proven ability to understand several pricing modelling approaches and their strengths and weaknesses as well as performing and documenting quantitative testing and analyses.
• The ideal candidate will be a team player with excellent communication skills who is comfortable working against tight short-term deadlines in a dynamic environment.
• The ideal candidate will have a highly rational & logical thought process with a strong attention to detail.

Desirable skills/Preferred Qualifications:

• The ideal candidate will have strong verbal and written communication skills and the ability to apply these skills to a range of audiences in a variety of circumstances.
• The ideal candidate will have a strong desire to learn and add value wherever possible.
• The ideal candidate will have programming experience, for example VBA, C++.

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

• 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.