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In Risk Barclays develops, recommends, and implements controls and cost-effective approaches to minimise Barclay's risks, identifies and analyses potential sources of loss to minimise risk and estimate the potential financial consequences of an occurring loss.
Job Responsibility
Develop and maintain quantitative risk models to support Treasury business with particular focus on liquidity risk, collateral projection and hedge accounting metrics
Perform data analysis, validation and reconciliation across complex balance sheet and transaction-level datasets
Provide quantitative and analytical support to Finance and Risk stakeholders with regulatory and supervisory exercises
Ensure models are stable, well-tested, delivered in tight timelines and support their documentation and validation
Provide production support for testing and release of model packages in collaboration with Technology partners
Requirements
Strong analytical skills and quantitative background with a Master's degree or higher in a quantitative field
Solid understanding of financial mathematics, including cashflow modelling, discounting and fixed income instruments
Good experience of mathematical modelling and development experience in financial industry
Good experience of hands-on programming experience in Python
Experience working with large datasets and quantitative analysis
Strong communication skills, with the ability to explain technical topics to non-technical stakeholders
Nice to have
Experience with asset and liability management, liquidity risk, collateral, hedge accounting or regulatory reporting or exposure to IRRBB and ICAAP VaR models
Detailed knowledge of financial products, in particular fixed income products as well as retail banking products, and risk methodologies
Strong background in financial mathematics, asset pricing theory, and statistics
Experience supporting production models in a controlled or regulated environment
Awareness of model risk, controls or governance frameworks
Proactive, good communication skills, team player, creative, result-oriented