Avp Quantitative Analytics Market Risk

1 week ago

Mumbai Maharashtra, India Barclays Full time

Job Title: AVP Quantitative Analytics Market Risk

Location: Mumbai

About Barclays

Barclays is a British universal bank. We are diversified by business, by different types of customers and clients, and by geography. Our businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, global corporate and investment bank, all of which are supported by our service company which provides technology, operations and functional services across the Group.

Risk and Control Objective

Take ownership for managing risk and strengthening controls in relation to the work you do

Working Flexibly

Structured hybrid role:
Introduction:
This role within Barclays will be part of Quantitative Analytics Market Risk team with particular focus on supporting Securitized Products business. It will undertake the extension of our risk models for Collateralized Mortgage Obligations (CMOs) and coordinate validation, implementation, and usage of those models in production with other stakeholders in Risk Management, Model Validation, and IT. This role will also support the existing market risk models for other products traded within the Securitized Products business.

The role will also ensure that all activities and duties are carried out in full compliance with regulatory requirements, Barclays Operational Risk Framework and internal Barclays Policies and Standards

What will you be doing?
- Participate in the development and maintenance of regulatory and internal risk models including VaR, IRC, CRM and FRTB with particular focus on Securitized Products supporting CMOs and pass-throughs.
- The area of activities include: theoretical modeling, empirical-testing, historical back-testing, statistical analysis of relevant market data, numerical implementations of analytical modules, model and methodology documentation
- Provide analytical support to the Risk Managers

What we’re looking for:

- Master’s degree or higher in a quantitative field
- 3+ years of modeling and development experience in Risk methodology
- 3+ years of hands-on programming experience in Python and C++
- 3+ years of financial services experience in Securitized Products, in particular Agency CMOs and Pass-throughs

Skills that will help you in the role:

- Experience in developing, documenting, or validating market risk or quantitative pricing models, following SR11-7 standard
- Detailed knowledge of several financial products such as Interest rate products including exotics, Corporate Bonds and Credit Derivatives, Equities, FX, Commodities
- Analytic skills: financial mathematics, time series, statistical analysis, numerical analysis, etc.
- Programming skills: Python, C++, Java, C#
- Hands-on knowledge of VaR-type models, Statistics, Back office systems
- Experience with FRTB or CCAR models is a plus

Where will you be working?

Mumbai

Be More at Barclays

Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.

Purpose, Values and Mindset

We deploy finance responsibly to support people and businesses, acting with empathy and integrity, championing innovation and sustainability, for the common good and the long term.

Our values underpin everything we do: Respect, Integrity, Service, Excellence and Stewardship.

Respect

We harness the power of diversity and inclusion in our business, trust those we work with, and value everyone's contribution.

Integrity

We operate with honesty, transparency and fairness in all we do.

Service

We act with empathy and humility, putting the people and businesses we serve at the centre of what we do.

Excellence

We champion innovation, and use our energy, expertise and resources to make a positive difference.

Stewardship

We prize sustainability, and are passionate about leaving things better than we found them.

Our Mindset shapes how we take action, living by our Values, driven by our Purpose, always with our customers and clients at the heart of what we do; our Mindset is to Empower, Challenge and Drive.

Empower

Trust and support each other to deliver. Make decisions with those closest to the topic. Include diverse perspectives. Celebrate success and learn from failure.

Challenge

Question whether things can be done better. Use insights based on data to inform decisions. Be curious about how we can adapt and improve. Speak up and be open to alternative viewpoints.

Drive

Focus on outcomes. Deliver with pace. Be passionate and ambitious about what we do. Take personal responsibility. Actively build collaborative relationships to get things done.

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