• On behalf of a global financial services organization, develop and apply mathematical and statistical theory and methods to perform complex quantitative financial modeling, mathematical and statistical modeling, market risk analysis, data analytics, valuation, model testing and validation, financial research and reporting to support the QA team. • Implement and maintain financial and pricing models in Python and C++. • Implement Profit and Loss ("PnL") Explain reporting. • Develop and implement financial asset pricing theories. • Develop and implement a dynamic rates initial margin framework for hedge funds clients. • Stay up-to-date on Prime Services financial product offerings, as well as securities and derivatives traded by clients. • Utilize mathematical and statistical techniques to develop quantitative models describing the relevant financial products, including Repo, Stock Loan, FX Swaps, IR swaps, swaptions, bonds, options, futures, and TRS. • Create visualization of financial and pricing model outputs. • Document implementations according to internal and regulatory requirements.
What we're looking for:
Requires minimum of a Master's degree, or foreign equivalent, in Mathematics in Finance, Computational Finance, Mathematics, Economics, or a related field and at least two (2) years of experience as a Quantitative Analyst, or related occupation. Must have at least two (2) years of experience with each of the following required skills: Developing financial models for PnL explains components, non-cash trades present value, U.S. bonds' idiosyncratic risks, risk factors from interest rate, and inflation; Use knowledge of statistical modeling to solve PDEs to derive non-cash trade present value formula, develop and solve PnL decomposition equations, conduct Monte Carlo simulations, and conduct principal component analysis; Using C++ to read, build, and debug source code in computing systems; Using Python to develop and automate PnL explains tools, derive and automate non-cash trade and collateral present value, and develop and automate initial margin calculation in large portfolios with multiple assets; Using Excel to implement tools for non-cash trades present value and collateral value calculation, and to perform PnL analysis and prepare PnL reports for traders; and Working with large amounts of trading data to derive and visualize present values, PnL explains components, financial trading patterns, IR curves and time series, and Monte Carlo simulation.
Where will you be working?
You will be working at our New York, New York location at 745 Seventh Avenue. This 37-story office tower is located in Times Square in the heart of Manhattan and features a cafeteria, fitness center and state-of-the-art LED signage on the façade of the building. The building is easily accessible to Restaurants, Shops and Public Transportation. Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.
Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.
We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.
It is the policy of Barclays to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, creed, religion, national origin, alienage or citizenship status, age, sex, sexual orientation, gender identity or expression, marital or domestic/civil partnership status, disability, veteran status, genetic information, or any other basis protected by law.
Dynamic working gives everyone at Barclays the opportunity to integrate professional and personal lives, if you have a need for flexibility then please discuss this with the hiring manager.
Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility then please discuss this with us.