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Date live: May. 23, 2023
Business Area: COO & Functions
Area of Expertise: Investment Banking
Reference Code: 00283665
Salary / Rate USD 220000 to 220000
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VP, Quantitative Analyst
New York, New York
Barclays Services Corp.
What will you be doing?
• On behalf of a global financial services organization, develop and apply mathematical
and statistical theory and methods to perform complex quantitative financial modeling,
mathematical and statistical modeling, market risk analysis, data analytics, valuation, model testing and validation, financial research and reporting to support the QA team.
• Implement and maintain financial and pricing models in Python and C++.
• Implement Profit and Loss (“PnL”) Explain reporting.
• Develop and implement financial asset pricing theories.
• Develop and implement a dynamic rates initial margin framework for hedge funds clients.
• Stay up-to-date on Prime Services financial product offerings, as well as securities and derivatives traded by clients.
• Utilize mathematical and statistical techniques to develop quantitative models describing the relevant financial products, including Repo, Stock Loan, FX Swaps, IR swaps, swaptions, bonds, options, futures, and TRS.
• Create visualization of financial and pricing model outputs.
• Document implementations according to internal and regulatory requirements.
What we’re looking for:
Requires minimum of a Master’s degree, or foreign equivalent, in Mathematics in Finance, Computational Finance, Mathematics, Economics, or a related field and at least two (2) years of experience as a Quantitative Analyst, or related occupation. Must have at least two (2) years of experience with each of the following required skills: Developing financial models for PnL explains components, non-cash trades present value, U.S. bonds’ idiosyncratic risks, risk factors from interest rate, and inflation; Use knowledge of statistical modeling to solve PDEs to derive non-cash trade present value formula, develop and solve PnL decomposition equations, conduct Monte Carlo simulations, and conduct principal component analysis; Using C++ to read, build, and debug source code in computing systems; Using Python to develop and automate PnL explains tools, derive and automate non-cash trade and collateral present value, and develop and automate initial margin calculation in large portfolios with multiple assets; Using Excel to implement tools for non-cash trades present value and collateral value calculation, and to perform PnL analysis and prepare PnL reports for traders; and Working with large amounts of trading data to derive and visualize present values, PnL explains components, financial trading patterns, IR curves and time series, and Monte Carlo simulation.
Where will you be working?
You will be working at our New York, New York location at 745 Seventh Avenue. This 37-story office tower is located in Times Square in the heart of Manhattan and features a cafeteria, fitness center and state-of-the-art LED signage on the façade of the building. The building is easily accessible to Restaurants, Shops and Public Transportation. Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.
Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.
We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.
It is the policy of Barclays to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, 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.
Dynamic working gives everyone at Barclays the opportunity to integrate professional and personal lives, if you have a need for flexibility then please discuss this with the hiring manager.
Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility then please discuss this with us.
Salary/Rate Minimum/yr: $220,000
Salary/Rate Maximum/yr: $220,000
The minimum and maximum salary/rate information above include only base salary or base hourly rate. It does not include any other type of compensation or benefits that may be available.
This position is eligible for incentives pursuant to Barclays Employee Referral Program.
USD 220000 to 220000
Barclays offers corporate and investment banking and credit card services in the US. Our 10,000 US colleagues are located in offices across the country, with headquarters in New York City, a world-class campus in Whippany, New Jersey hosting our Technology and Functional Teams, and sites in Nevada and Delaware supporting our contact center operations.
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 let us know as part of your application.
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.
We 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.
This is the spirit of Barclays. It’s why we exist, what we believe and how we behave. But most importantly, it’s how we make decisions, take action and get things done.
We exist to provide responsible finance to people and business – but also a whole lot more.
We believe great talent RISES. It acts with Respect, Integrity, Service, Excellence and Stewardship.
We discover our full potential through our desire to Empower, Challenge and Drive each other.