Quantitative Analyst AVP - Treasury

Barclays; India; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

A leading global bank in Mumbai is seeking a Quantitative Analyst AVP-Treasury to design and implement treasury models and analytics. The ideal candidate will have extensive knowledge in Treasury Risk and Liquidity Modelling, along with hands-on coding experience in Python and C++. This role offers the opportunity to collaborate with a global quant team and drive innovation in digital banking solutions.

Qualifications

• Experience with end-to-end model development.
• Hands-on experience in Model Development or Validation.
• Knowledge in Hedge accounting and Liquidity Modelling.

Responsibilities

• Designing analytics and modelling solutions to complex business problems.
• Collaborating with technology to implement analytical solutions.
• Supporting ongoing effectiveness of analytics and modelling solutions.

Skills

Knowledge of Treasury Risk (IRRBB)

Liquidity Modelling

Hands-on coding experience

Experience in Model Development/Validation

Proficient in Python and C++

Job description

Purpose of the role

To design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making.

Accountabilities

• Design analytics and modelling solutions to complex business problems using domain expertise.
• Collaborate with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools.
• Develop high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation teams.
• Implement analytics and models in accurate, stable, well‑tested software and work with technology to operationalise them.
• Provide ongoing support for the continued effectiveness of analytics and modelling solutions to users.
• Demonstrate conformance to all Barclays Enterprise Risk Management Policies, particularly Model Risk Policy.
• Ensure all development activities are undertaken within the defined control environment.

Assistant Vice President Expectations

• Advises and influences decision‑making, contributes to policy development and takes responsibility for operational effectiveness, collaborating closely with other functions/business divisions.
• Leads a team performing complex tasks, using well‑developed professional knowledge and skills to deliver work that impacts the whole business function; sets objectives, coaches employees, appraises performance and determines reward outcomes.
• Demonstrates clear leadership behaviours to create an environment for colleagues to thrive: Listen and be authentic, Energise and inspire, Align across the enterprise, Develop others.
• For an individual contributor, leads collaborative assignments and guides team members through structured assignments; identifies new directions for assignments and/or projects, leveraging cross‑functional methodologies.
• Consults on complex issues; provides advice to People Leaders to support the resolution of escalated issues.
• Identifies ways to mitigate risk and develops new policies/procedures in support of the control and governance agenda.
• Takes ownership for managing risk and strengthening controls in relation to the work done.
• Performs work closely related to that of other areas, requiring understanding of how areas coordinate and contribute to the achievement of organisational objectives.
• Collaborates with other areas of work, aligned with business support areas to keep up to speed with business activity and strategy.
• Engages in complex analysis of data from multiple sources, both internal and external, to solve problems creatively and effectively.
• Communicates complex information; "complex" information may include sensitive information or information that is difficult to communicate because of its content or audience.
• Influences or convinces stakeholders to achieve outcomes.

All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.

Join us as a Quantitative Analyst AVP‑Treasury at Barclays, where you'll spearhead the evolution of our digital landscape, driving innovation and excellence. You'll harness cutting‑edge technology to revolutionise our digital offerings, ensuring unparalleled customer experiences.

You will be responsible for developing best‑in‑class treasury and liquidity models using industry‑leading model development frameworks and methodologies, working in a global quant team with regulators across the world and cutting‑edge technology. You may be assessed on the key critical skills relevant for success in the role, such as experience with end‑to‑end model development and coding languages like Python, R or C++ and relevant job‑specific skillsets.

To be a successful Quantitative Analyst AVP‑Treasury you should have experience with:

Treasury Models (Deterministic Model)

1. Knowledge of Treasury Risk (Interest Rate Risk of Banking Book—IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cash‑flow management for testing IFRS and GAAP accounting), ICAAP VAR Model (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, and Model Implementation.

Treasury Models (Statistical Model)

1. Knowledge of Treasury Risk (Interest Rate Risk of Banking Book—IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cash‑flow management for testing IFRS and GAAP accounting), ICAAP VAR Model (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, and Model Implementation.
2. Hands‑on coding experience (full‑stack developer / agile developer etc.).
3. Preferable language is Python, C/C++ etc.
4. Hands‑on experience in Model Development and/or Model Validation (core development experience preferred) / Model Implementation.
5. Experience in IRRBB, RRP, TWD, Hedge accounting, Liquidity Modelling, FX rate risk, ICAAP VAR model, Balance‑sheet Modelling, Cash Flow Forecasting.

Job location of this role is Mumbai.