Quantitative Analytics

1203 Barclays Global Serv. Cent; Mumbai Suburban; On-site; INR 1,200,000 - 2,000,000; Full time

Job summary

1203 Barclays Global Serv. Cent in Mumbai is looking for a role focused on designing and developing mathematical and statistical models for business decision-making. The successful candidate will collaborate with technology teams and provide ongoing support for model efficacy.

The position requires extensive knowledge in credit risk models, hands-on coding skills, and experience in stakeholder engagement with audit teams to ensure compliance and effectiveness in model governance.

Qualifications

• Experience in model development or validation and statistical modelling for wholesale credit books.
• Knowledge of FRTB, IMA/SA, VaR, and stress testing.
• Stakeholder engagement with model owners and audit teams.

Responsibilities

• Design analytics and modelling solutions to complex business problems.
• Collaborate with technology to specify dependencies for analytical solutions.
• Provide ongoing support for the effectiveness of models.

Skills

Experience with end‑to‑end model development

Coding in Python or C/C++

Knowledge of PD, LGD, EAD

Understanding of model governance

Tools

Python

C/C++

R

Job description

Job Description

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 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.

Expectations

To advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness. Collaborate closely with other functions and business divisions. Lead a team performing complex tasks or, as an individual contributor, lead collaborative assignments, guide team members through structured assignments, and identify the need for additional specialisation where required.

Leadership Behaviours (if applicable)

• L – Listen and be authentic
• E – Energise and inspire
• A – Align across the enterprise
• D – Develop others

Qualifications

Wholesale Credit Risk

• Experience with end‑to‑end model development, coding in Python or C/C++.
• Knowledge of PD, LGD, EAD, IFRS9/CECL/CCAR, stress testing and scenario modelling.
• Experience in model development or validation and statistical modelling for wholesale credit books.
• Understanding of model governance and exchange with regulators and stakeholders.

Counterparty Credit Risk (CCR)

• Knowledge of IMM models, SA‑CCR, CVA, Basel framework, Monte‑Carlo simulation, exposure and collateral modelling, PFE, EPE, EPPE, derivatives pricing, Greeks, and risk factor modelling.
• Experience in back‑testing, numerical analysis, SR11/7, SS1/23, SS12/13, etc.
• Hands‑on coding experience in Python or C/C++ and core development of models.
• Experience in stress testing, scenario modelling, and statistical modelling for wholesale credit books.
• Stakeholder engagement with model owners, audit and validation teams.

Market Risk

• Knowledge of FRTB, IMA/SA, VaR, Expected Shortfall, Basel framework, Monte‑Carlo simulation, stress testing, exposure modelling, CVA, pricing models, and Black‑Scholes.
• Experience with incremental risk charge (IRC), risk factor modelling, back‑testing, numerical analysis, SR11/7, SS1/23.
• Hands‑on coding experience in Python, C/C++ or R and core model development.
• Experience in stress testing, scenario modelling and statistical modelling for market risk.
• Stakeholder engagement with model owners, audit and validation teams.

Work Location

Based out of Mumbai.