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Date live: May. 31, 2023

Business Area: Barclays International

Area of Expertise: Risk and Quantitative Analytics

Reference Code: 90372624

Contract: Permanent

Senior Quantitative Analyst 

As a Barclays Senior Quantitative Analyst, you will be responsible for developing the next generation of analytics and models for Securitized Products. Moreover, you will be involved in all securitized asset classes including MBS, ABS, CMBS and CLO across the globe. You will support the model enhancements effort and the associated risk management processes and utilize C++ programming and risk measures for Securitized Products. You will ensure that all activities and duties are carried out in full compliance with regulatory requirements.

Barclays is one of the world's largest and most respected financial institutions, with 329 years of success, quality, and innovation behind us. We offer careers that provide endless opportunity – helping millions of individuals and businesses thrive and creating financial and digital solutions that the world now takes for granted.

We are currently in the early stages of implementing a hybrid working environment, which means that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. We’re flexible on how this works and it may continue to change and evolve. Depending on your team, typically this means that colleagues spend a minimum of between 20% to 60% of their time in the office, which could be over a week, a month, or a quarter. However, some colleagues may choose to spend more time in the office over a typical period than their role type requires. We also have a flexible working process where, subject to business needs, all colleagues globally can request work patterns to reflect their personal circumstances. Please discuss the detail of the working pattern options for the role with the hiring manager.

What will you be doing?

•    Developing and maintaining analytics and models for securitized products in the context of standardizing scenario definitions
•    Supporting full revaluation in the VAR and Stress testing risk management applications for Securitized products
•    Supporting all Securitized Products and Finance trading desks in support analytics requirements relating to pricing and risk management tools
•    Cooperating closely with other QA teams engaged with Market and Credit risk in creating requirements and supporting their needs for analytics
•    Working with technology team on migrating the legacy analytics system that relies heavily on a third-party structuring tool to QA securitized products analytics system
•    Working with stakeholders of securitized products analytics, including market risk managers, model risk management, finance, product controls 
•    Cooperating with other teams within the broader organization of QA to ensure the consistency and compliance to the standards 
•    Working on Securitized Products analytics and model documentation to ensure compliance with model risk regulatory requirements 

What we’re looking for:

•    Proficient with C++ 17 and any one or more of the following: Java/C#/Python
•    Familiarity with the tools used in development and deployment of quantitative libraries
•    Knowledge of Securitized Products, financial math, including stochastic calculus and its applications to finance
•    The candidate will be required to develop and implement models, that reflect market fundamentals

Skills that will help you in the role:

•    Very good skills of presenting and articulating ideas well, both oral and written
•    Experience with high performance computing (i.e. AWS)
•    In-depth knowledge of RMBS 

Where will you be working?

Our Prague office is part of the Operations and Technology Division, and as such, we try our best to stay at the top of our technological game. However, the technology itself is not the most important thing. What matters the most to us is the way our ingenuity can help provide better service to our customers and make life easier for our employees.

#Analysis #LI-Hybrid
# LI-JG1

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