AVP - Quantitative Analytical Market Risk Modeler

Join us as an AVP Quantitative Analytics Market Risk Modeler at Barclays Quantitative Analytics Team where you'll spearhead the evolution of our digital landscape, driving innovation and excellence. You'll harness cutting-edge technology to revolutionize our digital offerings, ensuring unapparelled customer experiences.

You will be responsible for developing best in class credit risk models using industry leading model development frameworks & methodologies, work in a global quant team, with regulators across the world and cutting-edge technology.

You may be assessed on the key critical skills relevant for success in role, such as experience with end-to-end model development , experience on coding languages like Python OR R OR C++, as well as job-specific skillsets.

To be successful as an AVP Quantitative Analytics Market Risk Modeler you should have experience with:

• You must have knowledge of the following in 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
• Hands on coding experience (as a full-stack developer / agile developer etc.
• Preferable language is Python, C/C++ etc)
• Hand on experience in Model Development and/or Model Validation (core development experience preferred).

Desired Qualification ;

• 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