Counterparty Credit Risk AVP

Job description

Job Title Quantitative Analyst, Credit Risk Models AVP
Location Glasgow

Our Risk professionals take the lead in addressing issues including the potential implications of an economic downturn or financial crime, and in advising our business leaders in making measured decisions. They help us to provide peace of mind for Barclays' Retail customers by protecting their assets and investments, whilst also protecting the transactions of our Barclaycard customers wherever they are in the world. In this role the AVP will focus on enhancing model monitoring of the existing stress testing models and on the implementation of a strategic alternative model for stress testing.

What will you be doing?

• Contribute to the formulation of quantitative modelling methodology enhancements ideas, and related planning and prioritisation

• Devise a testing approach of a new model/new model component, execute the tests, discuss results with stakeholders, and present the approach and findings to stakeholders
• Perform ad hoc quantitative market or portfolio risk analysis to inform key model metholology choices
• Identify, evaluate, quantify and document the assumptions and limitations of the model
• Devise, present, negotiate, implement and periodically execute any quantitative model monitoring controls where required, including making a Post Model Adjustments (PMA)
• Convince key stakeholders (e.g. model validation team or regulators) of adequacy of the proposed model monitoring controls
• Provide support to RMG colleagues in the context of CCR Annual Model Reviews (AMRs), model (re)documentation, model validation submissions, periodic model monitoring activities, or other governance and control activities.

What we're looking for:

• Bachelors degree in Finance, Maths, Statistics, Sciences, Engineering or Economics or substantial directly related experience
• Relevant, practical knowledge in mathematical finance (in risk-neutral pricing, and/or real measure simulation), statistics, and CCR exposure and capital metrics, each underpinnend by solid foundational expertise
• Advanced skills in Excel, including VBA for Excel and experience with SQL

Skills that will help you in the role:

• Basic understanding of CCR regulation pertaining to Advanced Model Approval
• Experience with third party data provider systems, such as Bloomberg, Reuters
• Prior role as a model validator, as a front office quant, as a risk analytics quant or as a quantitative CCR manager

Where will you be working?

This role will be based in the Aurora Building, 1 of our 3 modern City Centre locations until our exciting new campus location overlooking the River Clyde at Buchanan Wharf is opened in 2020. Aurora is close to the main stations, other transport links and also benefits from an onsite canteen.
Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.

Our Values

Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.

Our Diversity

We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.

Our Benefits

Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility then please discuss this with us.