Capital Model Manager - Contract

JOB PURPOSE

The position is in the Risk Measurement team of Group Operational Risk. The team is responsible for the Advanced Measurement Approach for assessing capital requirements for operational risk for Barclays. The team is further developing the methods for measuring the risks and modelling the capital requirements.

We are seeking an individual to support the current measurement, modelling and reporting and the design, development and implementation of improved methods.

This is an excellent opportunity to gain experience developing leading edge techniques for an Advanced Measurement Approach for operational risk capital in a significant global bank.

ACCOUNTABILITIES

Model development

- Understand regulatory requirements and industry developments.
- Research statistical techniques applied to estimating operational risk loss distributions, correlations and allocating capital.
- Design and test alternative methods (using Mathematica or RiskSharp).
- Conduct statistical analysis of loss data (using Mathematica).
- Engage key stakeholders to support design, development and approval.
- Document methodologies and results.
- Guide and train business management on risk assessment and scenario analysis.

Operational Risk Analysis & Reporting

- Support and validate Key Risk Scenario assessments by business management.
- Analyse loss experience, calculate model parameters, calculate loss distributions, correlations and capital requirements.
- Produce Management and Regulatory reports.
- Respond to changing reporting requirements.
- Support Medium Term Planning of capital requirements.
- Analyse model performance and conduct model validation.

TECHNICAL SKILLS

- Highly competent in statistical analysis (eg data analysis, distribution fitting, Bayesian techniques, homogeneity analysis, correlation analysis, convolution of distributions, simulation techniques).
- Advanced Excel capabilities.
- Mathematica programming experience (or similar applications).
- Aptitude for research and development, being able to research advanced statistical techniques and adapt for model design.
- Excellent organisational skills to manage delivery of multiple tasks within agreed timeframes. Strong networking and influencing skills to engage relevant stakeholders.
- Excellent communication skills, both written and oral, to document and communicate complex concepts in plain English.

EXPERIENCE

- Graduate or post graduate qualification (msc or Phd) in a numerate discipline such as economics, mathematics or finance or equivalent.
- Strong knowledge of analytical and mathematical modelling techniques applied to estimating economic or regulatory capital requirements (or similar applications involving estimation of frequency and severity of events).
- Knowledge of challenges and developments in the industry and academic research on operational risk capital modelling techniques.
- Knowledge of basel ii framework for capital requirements, particularly relating to operational risk.
- Knowledge of model design, development and validation processes.
- Experience engaging with a range of stakeholders on development projects.

IF THE ROLE IS OF INTEREST THEN PLEASE CALL LUKE WELHAM OR SEND AN APPLICATION

JCW are operating as a recruitment agency for the purposes of this position.