Vice President - Quant Strategist

- QA Macro Products

Responsible for the research, development, implementation, and support of quantitative models and analytical tools for the Macro (FX/Rates/Inflation) and Municipal businesses. The teams remit covers a wide range of cash and derivative products from simple linear to complex derivatives and extends to methodologies and analytics in support of capital requirement calculations.

- QA Equity Products

The team's modelling work applies to a large spectrum of financial products, including vanilla options, volatility derivatives, delta one products, convertible bonds and equity financing structures.

In addition to the core modelling activity, the team is actively engaged in the effort to reduce our business operating costs in terms of capital requirements and their response to different regulatory requirements.

- QA Securitised Products

The teams models calculate valuation and risk metrics for risk factors that are relevant to the specific types of securitised products. The team works closely with trading desks, risk managers, and technology teams to help the business meet needs for valuation and risks in securitized products. The team also provides supports for efforts to meet regulatory requirements involving securitized products.

- QA Structured Products and Strategies (QA SPS)

The team's modelling work applies to a large spectrum of financial products, including equity based and hybrid derivatives. The team also supports the cross asset Quantitative Indices and Strategies (QIS) business and serves as a knowledge base for various modelling questions arising across the trading and structuring businesses.

- QA Prime Services

The team works closely with the business in developing analytics tools and models to help manage market and counterparty risk as well as inventory and financial resources (e.g. balance sheet, RWA, liquidity). In addition, the team provides statistical modelling and relative value analysis in areas where the business serves as a market maker.

- QA Credit Products

The team is responsible for the quantitative models and analytics used in the credit businesses across Markets and Banking and is involved in a wide range of products and activities, including corporate and emerging market bonds, single-name and index CDS, leveraged loans, hybrid capital securities, credit options, CLOs, CLNs, structured notes, bond financing, repos, total return swaps, CDS clearing, syndicate loan commitments, banking book loans, and quantitative strategies and risk modelling such as model based risk management, portfolio optimization, and relative value analysis.

Overall purpose of role

Barclays is building out its Quantitative Analytics Trading Desk Strategy Teams in India and has a number of open roles. The roles involve developing pricing, valuation, and risk management models and analytics for the QA Trading business in the strategic analytics library. This includes developing frameworks and tools for the trading desk.

Key Accountabilities

- Design, develop, and, maintain quantitative models in our strategic analytics libraries in C++

- Design, develop, and maintain frameworks and python tools for trading

- Provide support across all asset classes, control functions, and our other QA partners

- Work with, and provide support to IT for integration of the analytics

- Back-testing of VAR/daily bank P&L/hypothetical P&L predict to explain the driving differences between regulatory margin (SIMM) and P&L

- Analysing large amounts of data and making recommendations on model improvements

- Reporting on a quarterly basis to the Collateral Modelling Committee(CMC), i.e. the heads of trading, risk, finance, quants and IT

- Maintenance and development of a python library for exceedance analysis

- Liaising on a weekly basis with ISDA to discuss modelling issues

- Working closely with IT teams to suggest/support systems

- Annual model recalibration

- PhD or Masters degree in a quantitative discipline such as mathematics, physics, or engineering.

- Strong mathematical, analytical, statistical and/or programming skills (C++ preferred)

- Software engineering techniques and strong design principles

- Strong experience with data structures and working around data quality and integrity issues

- Experience in testing code and models

- Strong quantitative ability

Desirable skills/Preferred Qualifications:

- Experience in building Python tools

- Experience/knowledge in pricing and modelling

- Post-graduate qualification in a quantitative discipline