Job Description
Purpose of the role
To design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making
Accountabilities
- Design analytics and modelling solutions to complex business problems using domain expertise.
- Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools.
- Development of high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation teams.
- Implementation of analytics and models in accurate, stable, well-tested software and work with technology to operationalise them.
- Provision of 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.
Director Expectations
- To manage a business function, providing significant input to function wide strategic initiatives. Contribute to and influence policy and procedures for the function and plan, manage and consult on multiple complex and critical strategic projects, which may be business wide..
- They manage the direction of a large team or sub-function, leading other people managers and embedding a performance culture aligned to the values of the business. Or for an individual contributor, they lead organisation wide projects and act as deep technical expert and thought leader, identifying new ways of working and collaborating cross functionally. They will train, guide and coach less experienced specialists and provide information affecting long term profits, organisational risks and strategic decisions..
- Provide expert advice to senior functional management and committees to influence decisions made outside of own function, offering significant input to function wide strategic initiatives.
- Manage, coordinate and enable resourcing, budgeting and policy creation for a significant sub-function.
- Escalates breaches of policies / procedure appropriately.
- Foster and guide compliance, ensure regulations are observed that relevant processes in place to facilitate adherence.
- Focus on the external environment, regulators, or advocacy groups to both monitor and influence on behalf of Barclays, when appropriate.
- Demonstrate extensive knowledge of how the function integrates with the business division / Group to achieve the overall business objectives.
- Maintain broad and comprehensive knowledge of industry theories and practices within own discipline alongside up-to-date relevant sector / functional knowledge, and insight into external market developments / initiatives.
- Use interpretative thinking and advanced analytical skills to solve problems and design solutions in often complex/ sensitive situations.
- Exercise management authority to make significant decisions and certain strategic decisions or recommendations within own area.
- Negotiate with and influence stakeholders at a senior level both internally and externally.
- Act as principal contact point for key clients and counterparts in other functions/ businesses divisions.
- Mandated as a spokesperson for the function and business division.
All Senior Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.
All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.
Overall purpose of role
Participate in the development and maintenance of regulatory and internal risk models including: IMM, VaR, IRC, CRM and Regulatory CVA. The area of activities include: theoretical modelling, 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. Additionally, manage a local team, ensuring smooth integration and strong cross-regional engagement with the global teams.
Key Accountabilities
- Apply cutting-edge quantitative risk methodologies to enhance Market and Counterparty credit risk monitoring and management.
- Develop computational methods and mathematical and statistical models, including IMM, VaR/CVaR, stress-VaR to be used for risk management applications.
- Research, formulate, and implement quantitative models and solutions to optimize pricing and risk management of financial products across various asset classes, including: Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets, and Counterparty Risk Trading.
- Perform computations and assess numerical implementations of analytical modules, models, and methodology documentation using mathematical theories and techniques including time series analysis, statistical analysis, and numerical analysis.
- Validate, formulate, and test quantitative pricing models to ensure adequacy.
- Implement and maintain analytics models and applications within Python library to generate analytical insight used to facilitate the development of quantitative risk management.
- Build optimization tools using Python to facilitate counterparty risk management, including cash usage, balance sheet, liquidity, and regulatory capital.
- Define data requirements and perform theoretical modelling, empirical-testing, historical back testing, and statistical analysis of large data sets.
- Work, collaborate and coordinate effectively with colleagues across various time zones
Stakeholder Management and Leadership
The candidate must be able to communicate effectively with stakeholders (Model Validation, Risk Managers, Risk IT, Project Managers) and colleagues in QA.
Strong communication and presentation skills, including to non-technical and senior audiences, are indispensable.
Decision-making and Problem Solving
In addition to the usual analytical and technical traits any quantitative analyst role entails, the candidate must be able to make progress even when all details or data items are not yet known or finalised. More importantly, it is expected that the candidate should be able to evaluate alternatives and trade-offs, and to make decisions about best approach, while achieving consensus at the same time.
Person Specification
Strong leader, Excellent communicator, Team player, Creative
Essential Skills/Basic Qualifications:
Requires Master’s degree, PhD, or foreign equivalents in Mathematics, Computer Science, Physics, Statistics or any quantitative field plus seven-ten (7-10) years of experience in a related financial quantitative analyst or financial software developer/engineer role.
Desirable skills/Preferred Qualifications:
- Experience in development of counterparty/market risk, or quantitative pricing models, following SR11-7 standard
- Detailed knowledge of several financial products in the area of: 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: Hands on experience with Python/C++
- Hands-on knowledge of: VaR-type models, Statistics, Back office systems, Risk Engines and Pricing models
- Experience with FRTB and CCAR models is a plus
