Model Validation AVP - Treasury

Barclays•New York, NY

6d•$100,000 - $160,000

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)

Responsibilities

Validation of models for their intended use and scope, commensurate with the complexity and materiality of the models.
Approval or rejection of 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.
Assessment of any compensating controls used to mitigate Model risk.
Documentation of validation findings and recommendations in clear and concise reports, providing actionable insights for model improvement.
Evaluation of 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 of 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
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.