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.
To be successful as a Model Validation AVP - Treasury, you would be expected to have the following skills :
- 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
Highly Valued Skills
- 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)
You may be assessed on key critical skills relevant for success in this role, such as risk and controls, change and transformation, business acumen, strategic thinking and digital and technology, as well as job-specific technical skills.
This role is located in New York.
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.
Purpose of the role
To 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.
Accountabilities
- 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.
Assistant Vice President Expectations
- To 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
- If the position has leadership responsibilities, People Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.
- OR for an individual contributor, they will lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will 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. 'Complex' information could include sensitive information or information that is difficult to communicate because of its content or its audience.
- Influence or convince stakeholders to achieve outcomes.
All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.
