Model Validation AVP - Treasury

Barclays • New York, NY

1d • Onsite

About The Position

Join us as a Model Validation AVP -Treasury, responsible for validating behavioral and non-traded market risk models within Treasury IVU to ensure they are fit for use at inception and through ongoing periodic reviews. This role focuses on Liquidity, IRRBB, valuation, hedge accounting and Treasury related stress testing models, supporting enterprise-wide risk management and ensuring compliance with regulatory expectations. The position requires quantitative modeling skills, statistical analysis, and programming expertise, with hands on involvement in model assessment, documentation, communication of findings and a mindset to challenge the status-quo. You will partner closely with stakeholders across Risk, Treasury, and Finance as well as products subject matter experts while delivering high quality validation work within specified timelines.

Requirements

• Highly quantitative with excellent working knowledge of Financial Mathematics and Statistics
• Experience in model development, model testing and/or validation roles in areas related to Liquidity, Treasury, IRRBB, Market Risk
• Understanding of model risk frameworks, validation, and governance processes to assess model performance, assumptions, and limitations
• Knowledge of large gamut of Banking Book and Treasury products, relevant pricing models and both explicit and implicit embedded risks
• Experience of coding in R/SQL/C++/Python or equivalent language, including handling large datasets and writing functions to conduct computational analysis

Nice To Haves

• Experience with behavioral modelling
• Familiarity with Liquidity, IRRBB, CCAR, Bank of England stress testing related regulatory frameworks (SR11-7, SR15-19, LCR, NSFR, Reg YY, PRA, EU and FDIC regulations on IRRBB)
• Project management and prioritization skills in a fast-paced environment
• Communication and influencing skills, ability to produce high quality written and verbal communications for technical and non-technical audiences
• Highly organized in terms of planning own deliverables and stakeholder management (planning of meetings, responsiveness to emails, seeking collaboration across teams)
• Risk and controls
• Change and transformation
• Business acumen
• Strategic thinking
• Digital and technology
• Job-specific technical skills

Responsibilities

• Validate and approve models for specific usages both at inception and on a periodic basis, and of model changes, as well as conducting annual reviews.
• Validate models for their intended use and scope, commensurate with the complexity and materiality of the models.
• Approve or reject a model or usage based on assessment of the model’s conceptual soundness, performance under intended use and the clarity of the documentation of the model’s inherent risks, limitations and weaknesses.
• Assess any compensating controls used to mitigate Model risk.
• Document validation findings and recommendations in clear and concise reports, providing actionable insights for model improvement.
• Evaluate the coherence of model interactions and quality of Large Model Framework aggregate results that generate output for regulatory submissions or management decision making and planning.
• Design the framework and methodology to measure and, where possible, quantify model risk, including the assessment of framework level uncertainty.
• Advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness.
• Collaborate closely with other functions/ business divisions.
• Lead a team performing complex tasks, using well developed professional knowledge and skills to deliver on work that impacts the whole business function.
• Set objectives and coach employees in pursuit of those objectives, appraisal of performance relative to objectives and determination of reward outcomes.
• Lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments.
• Identify new directions for assignments and/ or projects, identifying a combination of cross functional methodologies or practices to meet required outcomes.
• Consult on complex issues; providing advice to People Leaders to support the resolution of escalated issues.
• Identify ways to mitigate risk and developing new policies/procedures in support of the control and governance agenda.
• Take ownership for managing risk and strengthening controls in relation to the work done.
• Perform work that is closely related to that of other areas, which requires understanding of how areas coordinate and contribute to the achievement of the objectives of the organisation sub-function.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategy.
• Engage in complex analysis of data from multiple sources of information, internal and external sources such as procedures and practises (in other areas, teams, companies, etc).to solve problems creatively and effectively.
• Communicate complex information.
• Influence or convince stakeholders to achieve outcomes.
• Demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship.
• Demonstrate the Barclays Mindset – to Empower, Challenge and Drive.
• Partner closely with stakeholders across Risk, Treasury, and Finance as well as products subject matter experts while delivering high quality validation work within specified timelines.

Benefits

• Minimum Salary: $100,000
• Maximum Salary: $160,000
• The minimum and maximum salary/rate information above include only base salary or base hourly rate. It does not include any other type of compensation or benefits that may be available.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: No Education Listed
• Number of Employees: 501-1,000 employees