Quantitative Model Developer

London, United Kingdom
12 Aug 2022
26 Aug 2022
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
As a Barclays Quantitative Model Developer you will work in the global Quantitative Analytics (QA) function, working within the Market Risk (MR) team. QA MR is responsible for the research, development, and documentation of the regulatory capital models for market-risk Risk-Weighted assets RWAs. The team is part of the QA Trading Book Risk (TBR) group in the investment bank.

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 - 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?
• Performing maintenance and enhancements of current risk models
• Creating designs to propose and implement modelling changes, to deliver in dynamic, agile, and often ambiguous contexts
• Delivering prototypes using or extending as appropriate our Python-based modelling platform
• Developing the analytical components of the models in C++/Python/R and assist IT to integrate them into the production system.
• Supporting Risk, Front Office and IT users of our analytics
• Facilitate the maintenance and development of our models library and the migration to new FRTB (Fundamental Review of the Trading Book) compliance models
• Maintaining and enhancement of current risk models

What we're looking for?
• Strong quant development background and experience including data structures, software architecture, algorithms
• Familiarity with market risk models (ideally with VaR) or pricing models
• Python/R/C++ hands on development including scientific stack (numpy pandas, scipy etc...), multi-processing, caching, and handling complexity
• Quantitative & statistical skills, knowledge of financial concepts & products

Skills that will help you in the role:
• Familiarity with Fundamental Review of the Trading Book and in particular the non-modellable risk factors frameworks
• Strong development experience for the prototyping/implementation of the analysis including data structures, algorithms
• Programming experience in shared codebase such as source control, unit testing, continuous integration
• Experience working with large data sets and working around data quality issues

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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