QAWCR Modeller

Responsibilities

• Design, develop, and implement mathematical, statistical, and machine learning models to support wholesale credit risk decision-making.
• Create high-performing, comprehensively documented analytics solutions and demonstrate their efficacy to business users and validation teams.
• Collaborate with technology teams to specify data requirements, development environments, and tools needed to operationalize models.
• Implement analytics in stable, well-tested software and provide ongoing support for model effectiveness.
• Ensure all development activities comply with Enterprise Risk Management Policies and Model Risk Policies.
• Lead and supervise team members by guiding professional development and coordinating resources.

Requirements

• Hands-on coding experience with proficiency in Python, C, or C++.
• In-depth knowledge of Credit Risk components, specifically Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
• Expertise in statistical modelling, preferably for wholesale credit books.
• Experience with Stress Testing and Scenario Modelling.

Preferred Qualifications

• Practical experience with regulatory frameworks such as IFRS9, CECL, or CCAR.
• Experience in end-to-end model development or model validation.

About the Company

Barclays is a leading international financial institution. Our Quantitative Analytics Wholesale Credit Risk team drives innovation by harnessing cutting-edge technology to develop best-in-class credit risk models. We operate within a global quant team, working alongside regulators worldwide to revolutionize our digital offerings and ensure unparalleled customer experiences.