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Risk AI Model Developer

London, England

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Risk AI Model Developer

London, England

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Date live: Apr. 26, 2024

Business Area: COO & Functions

Area of Expertise: Risk and Quantitative Analytics

Reference Code: 90389187

Contract: Permanent

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Role Title:Risk AI Model Developer

Location:London

About Quantitative Analytics

Quantitative Analytics (QA) is a global organisation of highly specialized quantitative modellers and developers. QA is led by Olaf Springer, who is a member of Risk Exco.

QA is responsible for developing, testing, implementing and supporting quantitative models for valuation and risk management of traded assets, regulatory and economic capital, impairments, scenario generation, credit and fraud risk decisions, surveillance modelling, asset-liability management, operational risk, net revenue and balance sheet forecasting, and stress testing across Barclays.

About QA Market Risk 

The QA Market Risk team develops and supports all of the risk, capital and RWA models under the Market Risk umbrella of the Barclays investment bank.

QA Market Risk is responsible for the full development lifecycle of the market risk models according to the standards defined by Basel, local governing regulators and internal risk management. The output of QA MR suite of models includes key capital and RWA metrics such as Value-at-Risk, Expected Shortfall, Incremental Risk Charge, CVA VaR, and standardized RWA. Market risk portfolio models span all asset classes in the trading book of the investment bank. In addition, QA Market Risk is responsible for all of RWA projections and GMS default loss measure under the FRB CCAR stress testing requirements.

The team is located in London, New York, and Prague, and takes pride in its collaborative and geographically distributed profile. It is part of the QA Trading Cross-Product functional area.

­­­­­­­­­­­­­­­­­­Overall purpose of role

Lead Quantitative Model development in Risk AI area. Spearhead development of Risk models using new Machine Learning and AI based techniques using latest cutting technologies in LLM/GenAI space.

Key Accountabilities

·Apply cutting-edge machine learning and artificial intelligence methodologies to enhance Market and Counterparty credit risk monitoring and management.

·Develop computational methods and mathematical and statistical models, including VaR/CVaR,stress-VaR to be used for risk management applications.

·Research, formulate, and implement quantitative models and solutions to optimize pricing and risk management of financial products across various asset classes, including: Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets, and Counterparty Risk Trading.

·Perform computations and assess numerical implementations of analytical modules, models, and methodology documentation using mathematical theories and techniques including time series analysis, statistical analysis, and numerical analysis.

·Validate, formulate, and test quantitative pricing models to ensure adequacy.

·Implement and maintain analytics models and applications within Python library to generate analytical insight used to facilitate the development of market risk management.

·Build optimization tools using Python to facilitate counterparty risk management, including cash usage, balance sheet, liquidity, and regulatory capital.

·Define data requirements and perform theoretical modelling, empirical-testing, historical back testing, and statistical analysis of large data sets.

More about working at Barclays

We're committed to providing a supportive and simplified experience for our candidates throughout the application and assessment process. Here, you will find information about what to expect and some guidance around your assessment and interview.

While the application process depends on the role, there are some constant steps, which are;

Step 1 - Your application
Step 2 - Your assessment
Step 3 - Your interview
Step 4 - Next steps

We aim to create an inclusive work environment where everyone can reach their full potential. If you require any adjustments to our recruitment process, please click here to learn more.

Find out more information here.

Barclays offers a diverse, inclusive and engaged culture. A place where people can bring their whole selves to work and be respected for who they are, valued for what they do and celebrated for their contribution to our business and our community.

OWe are an equal opportunity employer and opposed to discrimination on any grounds. It is the policy of Barclays to ensure equal employment opportunity without discrimination or harassment on the basis of race, colour, creed, religion, national origin, alienage or citizenship status, age, sex, sexual orientation, gender identity or expression, marital or domestic/civil partnership status, disability, veteran status, genetic information, or any other basis protected by law.

We’re committed to providing a supportive and inclusive culture and environment for you to work in. This environment recognises and supports ways to balance your personal needs, alongside the professional needs of our business. Providing the opportunity for all our employees, globally to work flexibly empowers each of us to work in a way that suits our lives as well as enabling us to better service our customers’ and clients’ needs. Whether you have family commitments or you’re a Carer, or whether you need study time or wish to pursue personal interests, our approach to working flexibly is designed to help you balance your life. If you would like some flexibility then please discuss this with the hiring manager.

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