Grazia Rapisarda

Leads the Model Risk audit portfolio for the Global Group providing strategic oversight and assurance across all regions, ensuring regulatory compliance and driving significant change initiatives. Model coverage is universal and includes IRB Credit & Market Risk, Liquidity Risk & IRRBB, Impairments and Stress Testing, Front-Office Pricing & Product Control, Compliance and Fraud and Artificial Intelligence models.

• Leads coverage of model risk assurance across entities operating in UK, US and EMEA regions, via team of c20 including external co-source. Plans include regulatory required audits on IRB Credit model submissions.
• Accountable for assuring 1LOD and 2LOD closure of regulatory findings (FRBNY MRIA / MRAs, ECB and PRA issues)
• Influence and engagement of Chief Internal Auditors (Group & Legal Entity) on all matters Model Risk and expert, continuous monitoring of 1LOD and 2LOD activities at internal committees.
• Representing Barclays at regulatory meetings and inspections as well as at Model Risk-themed industry forums.

In the first couple of years at Barclays I held a couple of global roles on model risk framework design and implementation, initially within the Model Risk Management function and subsequently within the Model Control Office function, via leadership of global teams of up to c20.

• Led material Group-wide governance and control framework enhancements across the model lifecycle to address recommendations from US, UK and EU regulatory agencies. This included delivery of model risk procedures for material model types, including IRB models and Impairment/Stress Testing models, with expert cross-functional engagement of senior execs as wells as technical SMEs.
• Oversight on Model Risk profile with enphasis on the definition of key metrics, promotion of data and IT infrustructure enhancements to ensure BCBS239 compliant reporting and communication and management of breaches
• Secretary for RiskExco-led Model Management Committees at Legal Entity and Group level and Chair of 'feeder' Model Control Office Forums
• Representing Barclays at key regulatory meetings and industry forums on matters related to Model Risk
• Spearheaded ‘Mindset Champion’ initiatives and internal mentoring schemes

Initially hired as an individual contributor to set up the foundations of a new, global model risk management function, I was later appointed to lead the function itself to complete a 2-year remediation plan supported by a global team of c15

• Delivered initial model inventory, a policy for model risk management and a remediation plan for compliance following consultation with all key senior leaders in the firm
• Leveraging my network, hired a team of c15 model validators, on-boarded specialistic consultancy resource and delivered requirements for an IT inventory management tool, a model risk reporting framework and a detailed model validation plan
• Directed technical, independent validations of key asset allocation and e-trading strategy, behavioural finance models, capital and financial forecasting models as well as Artificial Intelligence models
• Managed the Model Risk Forum, the Model Risk Newsletter and represented the firm at external regulatory and industry events
• During my assignment, I was mentor for the Women Ahead, 30% Club Mentoring Scheme

Delivered the Group-wide roll-out of the model risk management framework across the entire model universe, leading a team of up to c.10 model risk experts

• Enhanced the Model Risk Policy to encompass all model types in use in the bank
• Led the delivery of an upgraded Model Inventory Tool embedding reporting capabilities and management of model dependencies for large model frameworks (e.g. Stress Testing, ICAAP, ILAAP)
• Designed new model materiality criteria calibrated across the universe of models in use and applied consistently across all model types to support risk-based reporting
• Managed the reporting of a newly defined Model Risk profile including escalation of related exceptions at Group Risk Committee and Board Risk Committee level
• Deputy Chair of the Model Risk Forum and representing The Royal Bank of Scotland at regulatory meetings and industry forums

Spearheaded the re-development of the credit risk models for the wholesale portfolios of the bank post financial crisis under increasing regulatory expectations on the need for robust empirical foundations for IRB models

• Managed a team of c25 to re-develop the suite of IRB models within tight timeframes and support the regulatory engagement through the approval process
• Led the initial development of IFRS9-conformant credit risk impairment models for wholesale portfolios in coordination with the IFRS9 Interpretation forums and with the retail modelling teams
• Established the first off-shore hub in India for wholesale credit risk modelling and transfered BAU model monitoring and annual review activities over a 12m horizon
• Represented The Royal Bank of Scotland at regulatory meetings and industry forums.

Managed a team of c5 modelling specialist to deliver the first suite of wholesale credit risk IRB models through both FNMA and PRA approval and paramter input for Counterparty Credit Risk, Economic Capital and Incremental Risk Charge calculations.

Cost benefit analysis reports to back-up feasibility of regulatory changes implementing EU Directives in the UK. This included a study of the capital impact of new Basel Capital rules in the UK, performed in close coordination with UK banks and the Bank for International Settlement.

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