ICAAP and CCR Stress testing - AVP

As an ICAAP and CCR Stress testing at Barclays, you will play a crucial role in analyzing the banks wholesale credit and counterparty credit risk profile, as well as internal capital assessment. You will work collaboratively with Treasury and Capital Management, Trading, and Banking teams to understand the risks associated with wholesale credit risk (WCR), derivatives, and financing transactions. **Key Responsibilities:** - Develop and maintain stress testing models and methodologies for different credit portfolio segments. - Design and execute stress testing scenarios incorporating macroeconomic factors, industry trends, and portfolio-specific risks. - Analyze the efficiency of capital allocation across different business lines and products. - Interpret stress test results, including forecasting expected credit losses, risk-weighted assets, and capital needs. - Manage and analyze large datasets relevant to credit risk and stress testing. **Qualifications Required:** - Strong track record in risk management. - Detailed understanding of CCR and WCR models (EEPE, PFE, RWA, LGD, EAD, and Economic Capital) and capital calculations. - Knowledge of Financial Markets, Wholesale Credit, Derivative Products, and strong analytical skills with high attention to detail. - Experience with large and complex data structures and stress testing methodologies. - Related professional qualifications (e.g. FRM, CFA, CQF). - Bachelor's degree in Finance, Engineering, or a Mathematical/Quantitative related field. - Regulatory knowledge (CRR, PRA, EBA). - Familiarity with econometrics methods used in risk modelling. The purpose of your role is to assess the capital requirements of the bank's credit portfolio under various economic and risk scenarios, and to design and execute stress testing exercises to measure the potential impact of adverse events on the bank's credit losses, risk-weighted assets, and capital adequacy. In addition to your technical responsibilities, you are expected to advise, influence decision-making, contribute to policy development, and ensure operational effectiveness. Collaborate closely with other functions/business divisions, and lead a team in performing complex tasks while setting objectives and coaching employees towards achieving those objectives. All colleagues at Barclays are expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence, and Stewardship, as well as the Barclays Mindset of Empower, Challenge, and Drive.,