5 Derivative Pricing Jobs

Quantitative development to implement and optimize algorithms for asset pricing, risk management, and trading strategies and migrate analytics from c++ to Python Writes secure and high-quality code using Python or C++ with limited guidance Required Candidate profile 3+ years of Python, C++ Quantitative finance background with strong experience in data analysis and statistical models Experience with calculating Risk or Pricing of asset classes

Role Title Quantitative Analyst Job Location Mumbai Summary The role forms part of the Risk Quant team within Global Markets team. Risk Quant team is also part of the Integrated Risk Analytics team. Job Profile Validation of pricing models of derivatives products across all asset classes such as FX, rates, commodities, inflation, credit derivatives including exotic hybrid structures. Provide quantitative support to front and middle office across all trading desks with respect to valuations and modelling. Knowledge of yield curve methodologies and calibration of rate and credit curves. Programming experience with object orientated languages, e.g., Python/C++/R/C#. Validation of components XVAs for structured deals. Provide information to Market Risk, as well as base validations of trades to the accounting systems and downstream feeds to various other internal systems. Validation of calibration parameters for the various components under different stochastic processes. Experience with regulatory models for market risk, initial margin etc. Skills and Knowledge Relevant experience of 2-6 years. Candidate should display knowledge of derivative instruments, pricing, and valuation as well as risk profiles. Model implementations using regression methods, Monte Carlo simulation, tree method and PDE approaches. Knowledge of quantitative risk management models, stochastic calculus, statistics, and numerical resolution methods. A CQF/CFA/FRM/BTRM qualification would be an advantage. Role & responsibilities Preferred candidate profile Perks and benefits

Job Purpose Validate models in accordance with clients model risk management policy to assess model usage, documentation, conceptual soundness, data integrity and the control environment. Communicate results via formal model validation reports, as well as presentations to model owners and senior management. Evaluate model performance monitoring reports, and conduct model annual reviews. Maintain the model inventory and support the model risk governance process. Perform ad hoc (generally statistical) analysis of back-tests or simulated performance information. The Mark-to-Market Valuation (MTM) is used for valuations of trades that already exist for mark to market. The Credit Valuation Adjustment (CVA) accounts for measures of counterparty non-performance risk and is an adjustment made to the value of a financial instrument to reflect the possibility that a counterparty might default when the instrument is an asset for the sponsor. The Pricing and Potential Future Exposure model (PFE) produces distributions of rate or valuation outcomes based on expectations of future interest rates. It is used for pricing new customer trades for interest rate swaps before taking to market and in credit underwriting. Desired Skills and experience Masters degree in mathematics, statistics, data science, finance or a relevant field. Experience in model development, model validation or model governance in the fields of Credit Risk, Market Risk, Operational Risk, Fraud Risk. Programming experience with demonstrated exposure to multiple languages such as Python, SAS, R, MATLAB, SQL, VBA, C++ or similar languages. Experience required in building and pricing trades including Mark to Market Valuations, CVA models, Pricing and potential future exposure models Familiarity with vendor investment analytic applications: Aladdin, Axioma, Barra Portfolio Manager, Barra One, RiskMetrics, Yieldbook, Moodys Analytics, etc. Experience with vendor financial data vendors: Bloomberg, Refinitiv, CRSP, MSCI, Markit, S&P Capital IQ, etc. Solid understanding of financial predictive modeling, such as multi-factor risk models, time series forecasting, Value-At-Risk (VaR), optimization theory, and machine learning. Demonstrate strong understanding of capital markets and various asset classes: equities, fixed income, FX, and commodities. Attainment or progress toward at least one of the following: Graduate degree in business or quantitative discipline, Chartered Financial Analyst (CFA) charter, FRM or PRM risk management certifications, Certified Investment Management Analyst® (CIMA®) certification. Demonstrated history of strong analytical skills and attention to detail.

Model Risk Managements mission is to manage, independently and actively, model risk globally in line with the banks risk appetite with responsibility for: Performing robust independent model validation. Ensuring early and proactive identification of Model Risks. Designing and recommending model risk appetite. Effectively managing and mitigating model risks. Establishing Model Risks metrics. Designing and implementing a strong Model Risk Management and governance framework. Creating bank-wide Market Risk policies. IMM(Internal Model Method) is a risk management approach used by bank to calculate CCR exposure for derivatives, securities financing transactions(SFTs) and other financial instruments. The IMM Model Validation team as part of MoRM is responsible for independent review and analysis of all IMM forward pricing models used to calculate key components of IMM i.e. Potential Future Exposure (PFE), Expected Exposure (EE), Effective Expected Positive Exposure (EEPE). Your key responsibilities The role is to independently review and validate IMM forward pricing models. The role as a Quantitative analyst in Mumbai will work closely with validation team in Berlin and London to produce, analyse and document validation testing. Review and analysis require a good understanding of the derivative pricing models, implementation methods, derivative products and associated risks. The outcome of review and analysis and independent will form the basis of discussion with key stakeholders including : Front office quants, Market risk managers and Finance Controllers. Your skills and experience Excellent mathematical ability with an understanding of stochastic calculus, Partial differential equations, Longstaff-Schwartz Monte Carlo and Numerical Algorithms Strong understanding in financial markets (specially derivative pricing) demonstrated by qualifications and experience. Strong understanding of key matrices in IMM PFE, EE, EEPE, CVA, WWR Experience in model validation. Proficiency in Python coding. Excellent communication skills - both written and oral. Education/Qualifications Academic degree in a quantitative discipline (e.g. Mathematical Finance, Maths , Physics, Financial engineering).

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.