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Accountable for delivering documentation to the Independent Validation Unit for the implementation for the Banks Delaware Interest Rate Risk in the Banking Book Model. This encompasses articulation of:
- How QRM has been configured to manage and report IRRBB (including Structural Risk and Basis Risk). This will encompass a full description of the risk methodology and calculations to manage the balance sheet.
- The intended use of QRM and comparison with existing models, systems and controls with a clear explanation of how QRM results and processes differ.
- The suite of populated reports to be used for internal and external reporting.
- Data provision and processes evidencing that the new transactional data into QRM is fit for purpose with a robust data interface from source platforms into the modelling environment.
- Evidencing that the business operating model and risk infrastructure is embedded into business as usual processes.
- Model development and testing in accordance with Model Development and Testing Policy.
- Agree documentation requirements, timing and format with the Independent Validation Unit (IVU). Ensure this is communicated and well understood by all key stakeholders and provide a plan to meet this timetable.
- Provide evidential documentation of QRM configuration, risk methodology, data, systems and controls for IRRBB.
- Catalogue, manage and respond to all IVU queries relating to BBDE's implementation of QRM. Escalate as appropriate
- Ensure key controls over the model are documented and evidenced and fit for purpose including balance sheet coverage and reconciliation
- Ensure differences to existing, reported, metrics and reporting are explained with sufficient granularity (working with ALM and GMR testing teams)
- Facilitate (single point of contact) external governance and audit teams with independent assurance activities
- Quality assurance of documentation. Represent ALM model submissions to required governance committees to achieve sign-off for model implementation
* Minimum of 10 years experience in a senior capacity within Asset & Liability Management/Structuring or Product Control.
* Strong quantitative knowledge in ALM methodology and risk metric calculations for Banking Books, to include Net Interest Income Sensitivity, Economic Value Sensitivity, Basis Risk, PVBP calculations and Interest Rate Gap.
* Expert understanding of the risk management practises for pipeline risk, structural risk, basis risk and approaches for removing this risk within Barclays. Must also be proficient in funds transfer pricing methodologies.
* Expert of model documentation standards around A* rated models for model approval. Must be an effective translator of complex models / technical information.
* Solid and maintained knowledge of latest financial modelling techniques, product knowledge and the competitor environment
* In depth understanding of the drivers of value associated with the balance sheet.
* Knowledge of QRM is preferable
* Excellent communication, presentation and documentation skills. Must be able to work collaboratively with a variety of senior stakeholders at all levels. Must be able to influence senior personnel throughout the Group.
* Strong organisational skills including ability to manage multiple tasks and prioritise.
* Ability to manage the communications with all stakeholders up to board level.
* Ability to adapt to change.
* Degree discipline should be in a Financial/Mathematics/Economics or related subject.
* Second Degree (preferred but not essential) either in a Financial/Mathematics/Economics or related subject preferred