Assistant Vice President - QA - Counterparty Credit Risk

Overview

Assistant Vice President - QA - Counterparty Credit Risk within Barclays Quantitative Analytics Team, developing best-in-class credit risk models and working with regulators and cutting-edge technology in a global quant team.

What you'll do

• Design analytics and modelling solutions to complex business problems using domain expertise.
• Specify dependencies for analytical solutions with technology, such as data, development environments and tools.
• Develop high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation teams.
• Implement analytics and models in accurate, stable, well-tested software and work with technology to operationalise them.
• Provide ongoing support for the continued effectiveness of analytics and modelling solutions to users.
• Demonstrate conformance to all Barclays Enterprise Risk Management Policies, particularly Model Risk Policy.
• Ensure all development activities are undertaken within the defined control environment.
• Advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness.
• Lead a team performing complex tasks and deliver work that impacts the whole business function.
• Set objectives and coach employees, appraise performance relative to objectives and determine reward outcomes.
• Identify ways to mitigate risk and develop new policies and procedures in support of the control and governance agenda.
• Engage in complex analysis of data from multiple internal and external sources to solve problems creatively and effectively.
• Communicate complex information and influence or convince stakeholders to achieve outcomes.

What you'll need

• Knowledge of CCR – IMM Models, SA-CCR, CVA, BASEL Framework, Monte Carlo Simulation, Exposure / Collateral Modelling, PFE (Potential Future Exposure), EPE, EPPE, Derivatives Pricing, Greeks, Risk Factor Modelling (Interest Rates, Equities, Credit, Commodities etc.), Back-testing, Numerical Analysis, SR 11/7, SS1/23, SS12/13 etc.
• Hands-on coding experience (as a full-stack developer / agile developer etc.).
• Hands-on experience in Model Development and/or Model Validation.
• Experience in Stress Testing / Scenarios Modelling.
• Experience in Statistical Modelling.
• Experience with Regulators and regulatory frameworks.
• Experience working with Stakeholders – Model Owners, Audit, Validation.
• Experience with end-to-end model development.

Nice to have

• Preferred coding language is Python, C/C++ etc.
• Core development experience preferred for Model Development.
• Statistical Modelling preferably for Wholesale credit book.

Details

• Location: Mumbai, Nirlon Knowledge Park (BX) 9th & 11-12 floor.