Manager - Credit Model Risk Management
Barclays Bank Plc - London

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Overall job purpose:

To successfully strike the right balance of the following responsibilities: 1. Provide independent review (IR) and challenge of credit and/or counterparty risk models/methodologies to a high degree of depth, as required by and detailed in the Bank’s policies and standards; 2. Provide input/support the governance and reporting processes related to model risk management. Key duties and responsibilities include:

· 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; · Support efforts to identify and implement alternative approaches to improve existing methodologies; · Update and maintain existing databases with the IR results; · Present IR findings to appropriate governance committees and participate constructively in business level technical committees. · Report and track group-wide model coverage, performance and plans; · Support delivery of regulatory driven exercises/benchmarks; · Support the Director, Wholesale Credit Risk Measurement in their chairmanship of Group Material Models Technical Committee; Skills and Experience:

· Advanced understanding of the quantitative techniques used in developing and validating PD, LGD, EAD and/or CCR models;

· Strong numerical programming ability and hands-on expertise with one or more statistical packages;

· Production of high quality written communication including reviews of models, risk policies, results of research and presentations for technical and non-technical audiences;

§ Assertiveness; ability to convincingly argue and rationalize own point of view while keeping a realistic and pragmatic perspective;

§ Highly numerate, as demonstrated by a Masters or PhD in a highly numerate discipline;

§ 1-2 years experience in financial model building/testing for a major financial institution;

§ Knowledge of one or more of the following areas of credit/counterparty model risk management:

o Wholesale: structural models, reduced form models, logit/probit, modeling and validating Low Default and Low Data Portfolios, economic capital models, stress testing models;

o Retail: scorecard models, regression analysis, reject inference, decision trees, cluster analysis and neural networks, covering Application/Behavioural Risk, Value/Risk Reward, Pricing/ Response/Prepayment, Collections;

o CCR: Monte Carlo/risk factors simulation for different asset classes (e.g. IR, FX, commodities, CDS, equity), valuation models for different derivative instruments, backtesting techniques;

§ Understanding of regulatory requirements and the FSA’s interpretation of these;

§ Experienced with delivering under pressure;

§ Good understanding of banking environment, including credit risk related products for loan book and trading book and associated risks;
How to Apply: Please email a covering letter and CV to the contact e-mail address provided and place the reference BAR/31/4200 on the subject line of your email. Respondents are deemed to consent to the release of information to our client when submitting their details. All successful applicants will be contacted. Applicants have four weeks from the date of posting to reply to this vacancy.

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