Quantitative Analyst AVP - Treasury

Overview

Quantitative Analyst AVP in Treasury at Barclays, designing, developing, implementing and supporting mathematical, statistical and machine learning models used in business decision-making, including treasury and liquidity models within a global quant team.

What you'll do

• Design analytics and modelling solutions to complex business problems using domain expertise.
• Specify dependencies required for analytical solutions, such as data, development environments and tools, in collaboration with technology.
• 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, set objectives and coach employees, appraise performance relative to objectives and determine reward outcomes.
• Consult on complex issues, provide advice to People Leaders on escalated issues, and identify ways to mitigate risk.
• 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

• Prior experience in Risk / Finance / Quant Modelling in 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 (cashflow management for testing IFRS and GAAP accounting); ICAAP VAR (Interest Rate Risk of banking book for VAR).
• Hands-on recent coding experience (as a full-stack developer / agile developer etc.).
• Preferable languages: Python, Python-OOP, C/C++, and version control methods (GitLab, JIRA).
• Knowledge of pricing models for financial instruments such as loans and derivatives, and regulatory interest rate risk frameworks (Basel/EBA IRRBB).
• Experience with end-to-end model development.
• Experience on coding languages like Python OR R OR C++.

Nice to have

• Experience with Derivative Pricing and Market Risk model development.
• Experience deploying quant solutions in near production environments.
• Advanced technical degree in Mathematics, Financial Engineering, Computer Science, Numerical Analysis or similar.

Details

• Location: Mumbai.