Senior Rates Quant - First Line Model Review (Hybrid)

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

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.