Markets Strats - Senior Rates Pricing Quant - First Line Model Review

Barclays; Greater London; Hybrid; GBP 80,000 - 120,000; Full time

Job summary

Barclays is seeking a Senior Rates Pricing Quant for the First Line Model Review in London. The role sits in 1st Line Core Strats, focusing on shaping non-linear rates pricing models, technical reviews, Python benchmarking, and LaTeX documentation ahead of 2nd line validation.

You will review model docs, test pricing libraries, assess calibration and sensitivities, and help ensure robust documentation for submission to validators.

Qualifications

• Non-linear Rates pricing model experience and validation/review of term structure models and exotic instruments.
• Strong understanding of Rates derivatives modeling, including callable and path-dependent products.
• Background in applied mathematics, financial mathematics, quantitative finance, or related field.

Responsibilities

• Review and challenge model documentation for technical accuracy and clarity.
• Assess modelling assumptions, calibration approaches, sensitivities, limitations and controls.
• Run and analyse existing model tests against production pricing libraries.
• Design quantitative tests to assess model behaviour, limitations, stability and risk sensitivities.
• Investigate unexpected model behaviour and support root-cause analysis.
• Ensure model and documentation are fit for purpose (EOD, FVA, PVA) and for independent validation submission.
• Help minimise validation findings by addressing weaknesses before review.
• Produce high-quality technical documentation in LaTeX.
• If relevant, implement alternative components or enhancements in Python; debug production C++ models as needed.
• Act as a senior quantitative representative across the model lifecycle.

Skills

Rates pricing

Quantitative modelling

Python

C++

LaTeX

Model validation

Documentation

Stakeholder communication

Education

Applied mathematics

Finance/quantitative education

Tools

Python

C++

LaTeX

Job description

Job Title: Senior Rates Pricing Quant – First Line Model Review

Location: London (Hybrid: 3 days/week in-office)

Contract Duration: 6-month

Role Summary

Sitting directly in 1st Line Core Strats, this role provides immediate impact on shaping and challenging non-linear Rates pricing models. The successful candidate will act as a senior quantitative modeller, conducting technical reviews, developing benchmark test suites in Python, and refining model documentation in LaTeX prior to formal 2nd line validation submission.

Responsibilities

We are seeking a modeller rather than a software developer. The successful candidate should be able to:

• Review and challenge model documentation, ensuring technical accuracy, completeness, and clarity.

• Assess the appropriateness of modelling assumptions, methodologies, calibration approaches, sensitivities’ computation, limitations, and controls.

• Run and analyse existing model performance tests against production pricing libraries.

• Design and implement new quantitative tests to assess model behaviour, model limitations, numerical stability, calibration quality, and risk sensitivities.

• Investigate unexpected model behaviour and support root-cause analysis.

• Ensure the model and its documentation are fit for purpose (e.g. EOD, FVA, PVA).

• Ensure the documentation is fit for submission to the independent validation team.

• Help minimise validation findings by identifying and addressing weaknesses before formal validation review.

• Produce high-quality technical documentation in LaTeX.

• If relevant, design and implement alternative components or enhancements in Python, thus providing benchmark approaches to support the assessment of model assumptions and limitations.

• If warranted, debug and analyse production C++ model implementations.

• Act as a senior quantitative representative across the model lifecycle.

• Interact confidently with traders, quantitative developers, model validators, market risk, product control, audit, and model risk management teams.

• Communicate complex quantitative issues clearly to both technical and non-technical audiences.

Core Requirements

• Years of experience in non-linear Rates pricing models, with demonstrated expertise in model development and/or validation/review of term structure models and exotic instruments.

• Strong understanding of Rates derivatives modelling, particularly for callable and path-dependent products.

• Quantitative background in applied mathematics, financial mathematics, quantitative finance, or a closely related discipline.

• Proven experience assessing model methodology, assumptions, limitations, calibration approaches, sensitivities’ computation, and model performance.

• Ability to understand and challenge modelling choices and articulate their impact on pricing, risk, hedging, reserves, and governance decisions.

Relevant Product and Model Experience

Candidates should have experience with a significant subset of the following: CMS and CMS Spread products, Bermudan swaptions and callable rates products, LMM (Libor Market Model), Hull-White models, HJM frameworks, Cheyette models; Local volatility models, Forward volatility modelling, stochastic volatility models, SABR and volatility surface construction.

Preferred Experience

• Rates, Hybrid Rates/FX, Rates/Credit or Rates/Equity models.

• Inflation, Munis.

• Model validation or model documentation as a developer.

• Python and/or C++ implementation experience.

• Design and assessment of model reserves and adjustments relating to model limitations.

Less Relevant Backgrounds

• The focus is on pricing models rather than interest-rate curve construction roles, counterparty credit risk (CCR/XVA) modelling, market risk capital or stress-testing models, risk analytics roles, software engineering roles, trading or structuring roles without significant quantitative model ownership..

About Barclays

Barclays is a British universal bank. It is diversified by business, by different types of customers and clients, and by geography. Barclays businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, global corporate and investment bank, all of which are supported by its service company which provides technology, operations and functional services across the Group.

Values

Everything Barclays does is shaped by its five values of Respect, Integrity, Service, Excellence and Stewardship. The Barclays values inform the foundations of its relationships with customers and clients, and they also shape how Barclays measures and rewards the performance of colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.

Diversity

Barclays aims to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to Barclays vision and goals.

Hybrid Working

Barclays is currently in the early stages of implementing a hybrid working environment, which means that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. Barclays is flexible on how this works and it may continue to change and evolve. Depending on your team, typically this means that colleagues spend a minimum of between 20% to 60% of their time in the office, which could be over a week, a month or a quarter. However, some colleagues may choose to spend more time in the office over a typical period than their role type requires. Barclays also has a flexible working process where, subject to business needs, all colleagues globally are able to request work patterns to reflect their personal circumstances

Your Benefits

As a contract employee of Randstad Sourceright, you’ll receive a wide range of financial and personal benefits. There’s enrolment in a pension plan (after 12 weeks on assignment) and holiday pay. You’ll also get 24/7 access to an Employee Assistance Programme, designed to help you deal with any problems that could be affecting your home or work life. Plus, there’s discounts at heaps of high street shops, restaurants and entertainment - from Asda to Zizzi Italian restaurants.