Market Risk FRTB

Purpose of the role

To set the risk appetite setting for the Trading portfolio and active calibration & monitoring of limits

Accountabilities

• Collection and analysis of market data from various sources and ensuring risk is correctly captured, modelled and capitalised.
• Escalation of critical risk issues or breaches to Traders and senior Risk Management Leadership teams for timely action, as may be required.
• Review and provision of feedback on market risk models including change governance.
• Internal, Regulatory and Scenario stress testing for the Trading portfolio, as required.
• Steer and execution projects of market risk wide-significance e.g. FRTB, One Risk, as required.

Vice President Expectations

• Advise key stakeholders, including functional leadership teams and senior management on functional and cross functional areas of impact and alignment.
• Manage and mitigate risks through assessment, in support of the control and governance agenda.
• Demonstrate leadership and accountability for managing risk and strengthening controls in relation to the work your team does.
• Demonstrate comprehensive understanding of the organisation functions to contribute to achieving the goals of the business.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategies.
• Create solutions based on sophisticated analytical thought comparing and selecting complex alternatives. In-depth analysis with interpretative thinking will be required to define problems and develop innovative solutions.
• Adopt and include the outcomes of extensive research in problem solving processes.
• Seek out, build and maintain trusting relationships and partnerships with internal and external stakeholders in order to accomplish key business objectives, using influencing and negotiating skills to achieve outcomes.

All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.

At Barclays, we don’t just anticipate the future – we’re creating it. Step into the role of a Market Risk FRTB – VP and shape the future of our market risk team function by managing the lifecycle of Traded Market Risk models and participating in strategic Market Risk initiatives, especially those related to the Fundamental Review of the Trading Book (FRTB). Your key responsibilities include collaborating with stakeholders to oversee the inventory of quantitative models, aiding in the development of FRTB, addressing model weaknesses, conducting user acceptance testing, and creating control processes and reporting tools to support risk functions and model monitoring. Additionally, the role involves supporting model applications through both internal and external governance processes.

To be successful as a Market Risk (FRTB) - VP, you should have experience with:

• Bachelor’s degree with relevant exp. or master’s degree in a quantitative discipline such as Finance, Maths, Statistics, Sciences, Engineering or Economics or substantial directly related experience.
• Significant experience in financial markets (market risk, counterparty credit risk, product control, quantitative analytics, model validation).
• Strong written and verbal communication skills.
• Strong analytical skills; comfortable handling large data sets in MS Excel

Some of Highly Valued Skills may include:

• Advanced knowledge of Market Risk management concepts and techniques
• Experience with pricing and market risk models, preferably in a model development, model life cycle or model validation role.
• In-depth understanding of Basel 2.5/3 and FRTB rules.
• Experience with Python would be beneficial but not essential.

You may be assessed on the key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen strategic thinking and digital and technology, as well as job-specific technical skills.

The location of the role is Mumbai, IN or Pune, IN.

Barclays is required by law to confirm that you have the Legal Right to Work in any role that you apply for. If you currently hold a work visa sponsored by Barclays, or you would require sponsorship from

Barclays, you must declare this as part of your application. Sponsored visas are role and entity specific, and any changes must be reviewed. It is important that you ensure you are working on the correct visa at all times. Failure to accurately disclose your visa status or Legal Right to Work may result in your

application or any employment offer being withdrawn at any time.