Model Validation Wholesale IRB IFRS9

Recruiter
Barclays
Location
London
Salary
Competitive
Posted
04 Sep 2017
Expires
02 Oct 2017
Sector
Accounting
Contract Type
Permanent

About Barclays

Barclays is a transatlantic consumer, corporate and investment bank offering products and services across personal, corporate and investment banking, credit cards and wealth management, with a strong presence in our two home markets of the UK and the US.

With over 325 years of history and expertise in banking, Barclays operates in over 40 countries and employs approximately 130,000 people. Barclays moves, lends, invests and protects money for customers and clients worldwide. Please visit our website here for more information.

Independent Validation Unit

Independent Model Validation (IVU) performs validations of models in line with the Group Model Risk Policy. IVU has a responsibility to make approval decisions based on thorough and high-quality analysis, so that model risk is managed effectively and in a manner consistent with the relevant regulations. The relevant IVU department has responsibility for Wholesale IRB credit models, among others.

Role Purpose

  • Detailed validation of Wholesale IRB and IFRS9 credit models and other models as required
  • Ensure all steps and assumptions made in model development are documented, can be replicated, and are assessed for model risk.


Key Accountabilities

  • Deliver validation reports that state findings clearly
  • Role holder will be responsible for pursuing clear information in context that some sources give partial data only and must constantly ask 'Am I confident this is the full picture?'
  • Role holder must be able to challenge others and be open to challenge
  • Reports will include tests of whether model results can be replicated from documentation
  • Underlying work will require detailed examination of data, documents and coding knowledge
  • All code and materials necessary to this the work must be of high quality and stored
  • Reports will contain some more qualitative and conceptual challenges to models
  • Role holder should seek direction on which issues are material but have own views on this also.


Person Specification

  • Extensive experience in IRB credit modelling, including data-intensive coding projects
  • Extensive experience with relevant regulatory requirements (CRR, PRA).
  • Familiarity with SQL and R is preferred; experience with SAS, MATLAB or other languages is relevant
  • Basic Qualifications: Master's Degree in Quantitative subject (e.g. Math, Economics, Statistics).


Risk and Control Objective

All Barclays colleagues have to ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Barclays Policies and Policy Standards

Benefits

Our customers deserve the best. The same goes for our employees. That's why at Barclays you'll receive a range of benefits that include a competitive salary and all the tools, technology and support you need to succeed.

Our Culture

Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. The values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our employees. Simply put, success is not just about what you achieve, but about how you achieve it.

Dynamic working gives everyone at Barclays the opportunity to integrate professional and personal lives, if you have a need for flexibility then please discuss this with the hiring manager.

Barclays is an equal opportunity employer and are opposed to discrimination on any grounds.For more detailed information, please visit our dedicated Diversity and Inclusion site here .