Model Risk Measurement & Quantification- VP

Barclays

9 - 23 years

50 - 55 Lacs

noida

Posted:1 day ago| Platform:

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Skills Required

manager quality assurance analytical risk assessment consulting vice president workflow data quality risk management counselling auditing

Work Mode

Work from Office

Job Type

Full Time

Job Description

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:

Cross experience across different model types.
Good understanding of model risk management frameworks and associated PRA/FRB regulatory expectations.
Ensure open, proactive & timely interactions with stakeholders (model owners, developers, validators) & senior management in alignment with Barclays Values & Behaviour principles.
Strong facilitation & negotiation skills evidenced through managing and influencing discussions at senior level.
Ability to work with and in cross-functional and virtual teams across locations. Demonstrable track record of strong team work and delivery, within and across departmental teams.
Ability to think strategically and understand the whole portfolio of MRM activities.
The role holder will have a highly rational & logical thought process with a strong attention to detail.
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

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