Credit Risk Model Validation – Assistant Vice President ( AVP ) recruitment
Barclays Capital is the investment banking division of Barclays Bank PLC employing 25,000 people worldwide. We have the global reach, advisory services and distribution power to meet the needs of issuers and investors, providing solutions to your strategic advisory, financing and risk management needs.
We have an opening in Barclays Capital for a quantitative analyst to join the Credit Risk Model Validation team in London. This team is responsible for independent point-in-time validations and annual reviews of credit models for internal risk management and regulatory capital. The team’s mandate covers EPE/PFE Monte Carlo models; PD, LGD, and EAD models; and models for credit risk economic capital.
Responsibilities include:
- Completing model reviews along with appropriate documentation and testing results
- Communicating key findings to senior management, model developers, credit risk officers, and regulators
- Overseeing control processes to ensure previously approved models continue to behave as expected, including backtesting
Reviews include: theoretical review, assessment of appropriateness, and implementation tests. This individual will initially focus on annual reviews for counterparty credit risk models but he/she will be expected to validate other models as needs arise.
Minimum requirements:
- Assistant vice president
- Strong financial institution or risk system vendor experience
- Both theoretical and practical knowledge of counterparty risk or market risk models (including financial instruments) preferred but experience of other financial risk and pricing models may suffice (experience of credit EC, PD, LGD, and EAD models viewed very positively but not essential)
- Facility with data manipulation, integrating information from different systems, R/SAS, Perl/Python/VBA, and SQL (experience of C/C++ viewed very positively but not essential)
- Ability to assess strengths and weaknesses of modelling approaches
- MSc in Mathematics/Statistics/Financial Engineering (BSc in quantitative subject only considered on exceptional basis)
Our goal is to be the best-in-class Risk function.
We believe that the engagement and commitment of our people is essential to our department’s and firm’s success. We hire and encourage the brightest talent, and as we place so much value on our people, we give them every opportunity to develop and prosper.
Internal mobility and career development are both key parts of our culture. Transferring internally supports career progression and helps employees achieve long-term goals. We actively encourage our people to pursue opportunities throughout the firm and support them in making relevant transitions. To highlight this commitment, a number of activities and events are held throughout Risk, across geographies to promote mobility, networking and development including, specialised training courses, careers fairs and speed networking.