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Markets Strats – VP

United States, New York 157581.00 - 225000.00 USD / Year · Job Posted June 28, 2026
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Job Description

Barclays Capital Inc. seeks Markets Strats – VP in New York, NY (multiple positions available):

Job Responsibility

  • Liaise with U.S. rates trading desks (cash, flow derivatives, option & exotics) on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and analytics library release
  • Contribute and enhance interest rate term structure models, such as Cheyette Short Rate Model or Libor Market Model (LMM), within C++ analytics library
  • Develop GUI solutions for real-time visualization of outright and basis risk, such as ASW spread risk, on-off-basis, fut-cash-basis, as well as PnL, and PCA analysis for the USD government bond trading desk
  • Collaborate with Strats and Quant Infrastructure teams to develop fast ticking U.S. Treasury bonds and bond futures pricing risk and PL engine
  • Drive innovation through research and prototyping to enhance bond curve construction and modelling, with emphasis on relative value
  • Support and maintain analytics for the Libor fallback of the USD option and exotics interest rates derivative book
  • Leverage statistical methods, including linear algebra techniques and principal component analysis (PCA), to identify key risk drivers and latent factors influencing interest rate products and portfolio exposures
  • Build and maintain Python-based automation pipelines to generate trading desk reports, such as option exercise impact, schedule change impact, or end-of-day risk

Requirements

  • Liaise with U.S. rates trading desks (cash, flow derivatives, option & exotics) on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and analytics library release
  • Contribute and enhance interest rate term structure models, such as Cheyette Short Rate Model or Libor Market Model (LMM), within C++ analytics library
  • Develop GUI solutions for real-time visualization of outright and basis risk, such as ASW spread risk, on-off-basis, fut-cash-basis, as well as PnL, and PCA analysis for the USD government bond trading desk
  • Collaborate with Strats and Quant Infrastructure teams to develop fast ticking U.S. Treasury bonds and bond futures pricing risk and PL engine
  • Drive innovation through research and prototyping to enhance bond curve construction and modelling, with emphasis on relative value
  • Support and maintain analytics for the Libor fallback of the USD option and exotics interest rates derivative book
  • Leverage statistical methods, including linear algebra techniques and principal component analysis (PCA), to identify key risk drivers and latent factors influencing interest rate products and portfolio exposures
  • Build and maintain Python-based automation pipelines to generate trading desk reports, such as option exercise impact, schedule change impact, or end-of-day risk

What we offer

  • Incentives pursuant to Barclays Employee Referral Program
  • Wellness center
  • Fitness centre
  • Health center
  • Dining options

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