Model Validation AVP - Treasury

Responsibilities

• Validate and approve behavioral and non-traded market risk models within Treasury to ensure they are fit for use at inception and during periodic reviews.
• Assess model conceptual soundness, performance, and the clarity of documentation regarding inherent risks, limitations, and weaknesses.
• Evaluate model interactions and the quality of Large Model Framework aggregate results for regulatory submissions and management decision-making.
• Document validation findings and recommendations in clear, concise reports to provide actionable insights for model improvement.
• Design frameworks and methodologies to measure and quantify model risk, including the assessment of framework-level uncertainty.
• Collaborate with stakeholders across Risk, Treasury, and Finance to ensure effective risk management and regulatory compliance.

Requirements

• Highly quantitative background with excellent working knowledge of Financial Mathematics and Statistics.
• Proven experience in model development, testing, or validation within Liquidity, Treasury, IRRBB, or Market Risk domains.
• Strong understanding of model risk frameworks, validation processes, and governance.
• Proficiency in coding using R, SQL, C++, or Python, including experience handling large datasets and performing computational analysis.
• Deep knowledge of Banking Book and Treasury products, including relevant pricing models and embedded risks.

Preferred Qualifications

• Experience with behavioral modeling.
• Familiarity with regulatory frameworks such as SR11-7, SR15-19, LCR, NSFR, Reg YY, PRA, or FDIC regulations related to IRRBB.
• Strong project management and prioritization skills in a fast-paced environment.
• Excellent communication skills with the ability to present technical information to non-technical audiences.

About the Company

Barclays is a leading international financial institution. Our employees are self-disciplined, curious, and collaborative, working together to make a difference. We are committed to our core values of Respect, Integrity, Service, Excellence, and Stewardship.