Treasury Models

Job Description

As a Barclays Treasury Models Senior Manager, you will work as part of our Independent Validation Unit (IVU) and be accountable for IRRBB model validations. Your role will combine qualitative, quantitative and leadership skills to propose approval decisions,identify key issues and suggest viable remediation actions. Its an opportunity to communicate your results at different forums and with exposure to senior stakeholders. This is an exciting role in a supportive team. Barclays is one of the worlds largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We offer careers that provide endless opportunity - helping millions of individuals and businesses thrive and creatingfinancial and digital solutions that the world now takes for granted. Working FlexiblyWere committed to providing a supportive and inclusive culture and environment for you to work in. This environment recognises and supports ways to balance your personal needs, alongside the professional needs of our business. Providing the opportunity forall our employees, globally to work flexibly empowers each of us to work in a way that suits our lives as well as enabling us to better service our customers and clients needs. Whether you have family commitments or youre a carer, or whether you need studytime or wish to pursue personal interests, our approach to working flexibly is designed to help you balance your life. If you would like some flexibility, then please discuss this with the hiring manager, and your request will be reviewed subject to business needs. Hybrid Working We are currently in the early stages of implementing a hybrid working environment, which means that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. Were flexible on how thisworks and it may continue to change and evolve. Depending on your team, typically this means that colleagues spend a minimum of between 20% to 60% of their time in the office, which could be over a week, a month or a quarter. However, some colleagues may chooseto spend more time in the office over a typical period than their role type requires. We also have a flexible working process where, subject to business needs, all colleagues globally are able to request work patterns to reflect their personal circumstances Please discuss the detail of the working pattern options for the role with the hiring manager. What will you be doing Appling your detailed knowledge and understanding of internal policies and standards to define and support the assessment of Model risk Leading validations of models in data quality, assumptions and limitations, model design and conceptual soundness, implementation, performance results, benchmarking etc Building challenger models (if needed) to assist the validation review and challenge process for all new and existing models You will conduct underlying work that will require detailed examination of data, documents, and coding knowledge Producing high quality model validation reports and presentations to satisfy relevant model governance requirements Reporting with a particular focus on noting limitations, weaknesses, and assumptions, reviewing reports and presentations coming from the team to ensure high level of standard You will distinguish which issues are material and manage the model risk accordingly Creating and maintaining the correct information in the Group model database for the set of validated models What were looking for: Highly quantitative with excellent working knowledge of Financial Mathematics and Statistics, a degree in quantitative subject or significant equivalent experience IRRBB expert with knowledge of large gamut of Banking Book and Treasury products, relevant pricing models and both explicit and implicit embedded risks in them Experience in model specification, model selection, model testing and/or validation roles Highly organized in terms of documentation and follow through, excellent writing, reviewing/editing and presentation skills Skills that will help you in the role: Experience with behavioral modelling Knowledge of applicable European and US IRRBB regulation is a plus Experience of coding using Matlab/R/SQL/C++/Python or equivalent language/software Where will you be workingIn the heart of Canary Wharf, our headquarters at Churchill Place boasts onsite amenities such as; a gym, staff restaurant and deli bar, and is easily accessible by tube and bus links. With a population of around 5000 staff the atmosphere is second to nonewith a real buzz being created around the offices within. #Hybrid #LW2020