AVP- Market risk model development

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:

At Barclays, we offer a hybrid working experience that blends the positives of working alongside colleagues at our onsite locations, together with working from home. We have a structured approach where colleagues work at an onsite location on fixed, anchor, days of the week, for a minimum of two days a week or more, as set by the business area (or nearest equivalent if working part-time hours). Please discuss the working pattern requirements for the role you are applying for with the hiring manager. Please note that as we continue to embed our hybrid working environment, we remain in a test and learn phase, which means that working arrangements may be subject to change on reasonable notice to ensure we meet the needs of our business.

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 support for present risk applications and models
• Provide analytical support to the Risk Managers

What were looking for:

• Advanced Technical Degree (Master's / PhD / similar or equivalents) - Statistics, Engineering, Numerical Analysis, Mathematics, Physics, Econometrics, Financial Engineering, Computer Science, Financial Mathematics
  Certification - GARP-FRM, PRM, CQF, AI/ML Courses, Coding and Computer Programming
  (Note: While MBA is good have these are technical roles and in general just MBAs might not have requisite skills)
• 3+ years of modeling and development experience in Risk methodology
• 3+ years of hands-on programming experience in Python and C++, R, MATLAB, Numerix etc. (These roles require hands-on in coding as a full-stack/agile developer), Database skills
• 3+ years of financial services experience in Securitized Products, in particular Agency CMOs and Pass-throughs

Skills that will help you in the role:

• Risk / Finance / Quant Modelling (across at least some of the these) - Credit Risk (Counterparty Credit Risk), Derivative Pricing, Market Risk, Model Development, and/or Model Validation (core development experience), Statistical Modelling.
• Technology - Hand's on recent coding experience (as a full-stack developer / agile developer etc.) Preferable language Python, C/C++
• FRTB, VaR, Expected Shortfall (ES), BASEL, Monte Carlo Simulation, Stress Testing, Exposure Modeling, CVA, Pricing Models, Desk Quants and Strategists, Black-Scholes, Economic Risk Capital, Incremental Risk Charge (IRC), Risk Factor Modelling (Interest Rates, Equities, Credit, Commodities etc.), Back-testing, Numerical Analysis, SR 11/7, SS1/23
• Product: Asset Classes - Interest Rates, Foreign Exchange, Credit, Equities, Commodities etc. Derivatives - (Swaps, Options, Futures / Forwards, Credit Derivatives), CVA/xVA Pricing

Where will you be working?

Mumbai

Be More at Barclays

At Barclays, each day is about being more as a professional, and as a person. Be More @ Barclays represents our core promise to all current and future employees. Its the characteristic that we want to be associated with as an employer, and at the heart of every employee experience. We empower our colleagues to Be More Globally Connected, working on international projects that improve the way millions of customers handle their finances. Be More Inspired by working alongside the most talented people in the industry, and delivering imaginative new solutions that are redefining the future of finance. Be More Impactful by having the opportunity to work on cutting-edge projects, and Be More Valued for who you are.

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.