Job Description

Senior Quantitative Analyst
London

As a Barclays Senior Quantitative Analyst, this is your opportunity to head the full development lifecycle of the market risk models according to the standards defined by Basel, local governing regulators and internal risk management. The output of QA Model Risk suite of models includes key capital and Risk Weighted-Assets metrics such as Value-at-Risk, Expected Shortfall, Incremental Risk Charge, Credit Valuation Adjustment, Valuation Adjustment Risk, and standardized RWA.

Barclays is one of the world\'s largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We offer careers that provide endless opportunity \xe2\x80\x93 helping millions of individuals and businesses thrive, and creating financial and digital solutions that the world now takes for granted.

What will you be doing?

• Participating in the design and the development of robust, scalable, and extendible Market Risk quantitative solutions
• Developing and supporting various parts of our strategic Market Risk Engine framework for scenario generation for VaR and Stresses based on historical simulations
• Initiating clear and solid designs to implement proposed modelling changes and/or extensions to existing ones, and, importantly, deliver in dynamic, agile, and ambiguous contexts
• Assisting in the development strategic frameworks and platforms to perform market data validations and general data modelling analytics
• Supporting current risk models and actively contribute in on-boarding any necessary improvement
• Delivering prototypes using or extending as appropriate our Python-based modelling platform

What we\xe2\x80\x99re looking for?

• Master\xe2\x80\x99s degree or PhD in engineering, physics, mathematics (or other equivalent scientific discipline)
• Extensive knowledge of quantitative finance / financial engineering. Practical experience with Market Risk models, risk metrics, tail statistics and financial products
• Hands-on development experience in Python, including scientific stack, object-oriented design patterns, machine learning libraries, shared codebase, data structures and databases
• Organized and superb communicator. Strategic thinker, with great ability to explain complex ideas in a clear and coherent manner
• Strong attention to detail, but capable to deliver on time

Skills that will help you in the role:

• Familiarity with Credit Flow & Structured products business and their quantitative modelling
• Experience with scenario generation, Monte Carlo and/or historical simulation methods, time series processing, data mining
• Exposure to advanced data modelling techniques for algorithmic validation and missing data imputation (outliers\xe2\x80\x99 detection, machine learning / neural networks regression for proxying)
• Proficiency with GUI design and interactive tooling to deliver our analytics to clients and stakeholders

Where will you be working?
North Colonnade is home to our investment bank and is in the heart of Canary Wharf, just a short walk from our headquarters at Churchill Place. It boasts an array of onsite amenities such as dry cleaner as well as a deli and buffet style staff restaurant. The building is easily accessible by tube, docklands light railway and all major bus links. The atmosphere is second to none with a real buzz being created around the offices within.

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Barclays