Description
We are seeking a Quantitative Analyst AVP- Treasury to design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making.
You will be responsible for developing best-in-class treasury and liquidity models using industry-leading model development frameworks and methodologies. You will work in a global quant team with regulators across the world and cutting-edge technology.
Key Responsibilities:
- Design analytics and modelling solutions to complex business problems using domain expertise.
- Collaborate with technology to specify dependencies required for analytical solutions.
- Develop high-performing, comprehensively documented analytics and modelling solutions.
- Implement analytics and models in accurate, stable, well-tested software.
- Provide ongoing support for the continued effectiveness of analytics and modelling solutions.
- Demonstrate conformance to all Barclays Enterprise Risk Management Policies.
Assistant Vice President Expectations:
- Advise and influence decision-making, contribute to policy development, and take responsibility for operational effectiveness.
- Lead a team performing complex tasks, using well-developed professional knowledge and skills.
- Set objectives and coach employees in pursuit of those objectives.
Requirements:
- Prior experience in Risk / Finance / Quant Modelling (across one of the following areas) - Treasury Risk (Interest Rate Risk of Banking Book - IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cash flow management for testing IFRS and GAAP accounting), ICAAP VAR (Interest Rate Risk of banking book for VAR).
- Hands-on recent coding experience (preferably Python, Python-OOP, C/C++).
- Knowledge of pricing models for financial instruments like loans and derivatives, and regulatory interest rate risk frameworks (Basel/EBA IRRBB).
- Advanced Technical Degree: Mathematics, Financial Engineering, Computer Science, Numerical Analysis, etc.
Preferred Skills:
- Experience in deploying quant solutions in near-production environments.
- Derivative Pricing and Market Risk model development experience.