Model Risk Measurement & Quantification- VP

Step into the role of Model Risk Measurement & Quantification- VP. At Barclays, we are more than a bank we are a force for progress. You will be responsible for the framework design and end to-end assessment of model uncertainty (at model level & in aggregate where multiple models are used within larger frameworks to produce key risk metrics). You will be responsible for executing / overseeing execution of above activities across designated model portfolios / large model based frameworks.

To be successful as Model Risk Measurement & Quantification- VP , you should have experience with :

• Extensive experience in a quantitative role within risk management, finance, or consulting, with exposure to a variety of modelling types (e.g. credit counterparty risk, market risk, pricing, fraud, AML, credit decisioning).
• Development of model level uncertainty risk assessment, incl. end-to-end management of the risk assessment process, designing risk assessment components, analysing risk assessment results and compiling model risk reports / narrative feeding into requisite reporting channels.
• Understanding of model limitations and uncertainty stemming from model assumptions and quantification of the associated aggregated model risk.
• Portfolio model risk management across designated portfolios, including : model inventory analysis & attribution of model outputs to key risk metrics. Identification of material model risk drivers at portfolio level.
• Analysis of aggregate impact to key risk metrics from model uncertainties and coordination of discussions with 1LOD & 2LOD stakeholders to agree on overarching remediation plans. Review and approval of management overlays and other compensating controls at aggregate level.
• compilation of overall portfolio / framework assessment documentation & narrative feeding into regulatory submissions and Board packs.

Some Other Highly Valued Skills May Include

You may be assessed on the key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen strategic thinking and digital and technology, as well as job-specific technical skills.

This role is based in our Noida office.

Purpose of the role

To design frameworks, provide governance of model risk, controls, infrastructure and reporting as well as providing oversight for compliance of the Model Owner community with the Model Risk Management framework

Accountabilities

Vice President Expectations

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.

Skills Required

Data quality reporting, Model risk management frameworks, Portfolio model risk management, Model inventory analysis, Risk assessment process design