Model Validation Manager
Length: 6 months
Overall purpose of role:
The role holder will be primarily responsible for performing and documenting analysis and testing of pricing models, market risk models and counterparty credit risk models.
- The role holder will be responsible for independently performing and documenting analysis and testing of pricing models, market risk models and counterparty credit risk models, as well as performing and documenting
- The role holder will be expected to negotiate and agree workload prioritisation within the team as well as with other stakeholders.
- The role holder will be expected to justify and defend their analyses and conclusions.
- The role holder will be expected to contribute toward the continuous innovation and improvement in efficiency and effectiveness of processes within the asset-class group, including discussion of overall team strategy.
- The role holder will collaborate with all model stakeholders: Front Office, Quantitative Analytics, Market Risk, Counterparty Credit Risk, Line Product Control, Independent Valuation Control, and Regulatory Liaison as well as other parts of the Traded Risk IVU team.
Essential Skills/Basic Qualifications:
- The ideal candidate will have a postgraduate level education in a quantitative discipline, for example mathematics, physics, engineering, quantitative finance.
- The ideal candidate will have proven ability to understand a variety of pricing modelling approaches and their strengths & weaknesses as well as independently performing and documenting quantitative testing and analyses.
- Proven experience in credit derivatives pricing models.
- Exposure to any of following credit products: index tranches, total return swaps, credit bonds and credit index swaptions.
Knowledge of pricing models related to XVA.
Barclays is a British universal bank. It is diversified by business, by different types of customers and clients, and by geography. Barclays businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, global corporate and investment bank, all of which are supported by its service company which provides technology, operations and functional services across the Group.
Everything Barclays does is shaped by its five values of Respect, Integrity, Service, Excellence and Stewardship. The Barclays values inform the foundations of its relationships with customers and clients, but they also shape how Barclays measure and reward the performance of colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.
Barclays aims 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 Barclays vision and goals.
Barclays is currently operating in a hybrid working environment, meaning that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. Please discuss the details of the working pattern options for the role with the hiring manager.
As a contract employee of Randstad Sourceright, you’ll receive a wide range of financial and personal benefits. There’s enrolment in a pension plan (after 12 weeks on assignment) and holiday pay. You’ll also get 24/7 access to an Employee Assistance Programme, designed to help you deal with any problems that could be affecting your home or work life. Plus, there’s discounts at heaps of high street shops, restaurants and entertainment - from Asda to Zizzi Italian restaurants.