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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