Quantitative Analytics Market Risk Modeler

Barclays; Mumbai; On-site; INR 1,800,000 - 3,200,000; Full time

Job summary

Barclays Mumbai invites applications for a Quantitative Analytics Market Risk Modeler to design, develop, implement and support mathematical and statistical models used in market risk decision-making.

You will work in a global quant team, collaborating with technology, regulators, and business lines, applying Python/C++ coding, end-to-end model development, and advanced risk methodologies such as VaR, ES and FRTB IMA.

Qualifications

• Experience in end-to-end model development.
• Hands-on coding in Python, R, C++.
• Model development and/or validation experience.
• FRTB IMA/SA, VaR, ES knowledge.

Responsibilities

• Design analytics and modelling solutions for complex business problems.
• Collaborate with technology to specify dependencies for analytical solutions.
• Develop high performing, documented analytics and modelling solutions.
• Implement analytics and models in stable, well-tested software.
• Provide ongoing support for analytics and modelling solutions.
• Demonstrate conformance to Model Risk Policy.
• Ensure development activities stay within control environment.

Skills

End-to-end model development

Hands-on coding

Python

C/C++

Education

Master's / PhD in Statistics/Engineering/Math/CS

Job description

Join us as a Quantitative Analytics Market Risk Modeler in Barclays Quantitative Analytics Team where you will be responsible for developing best in class market risk models using industry leading model development frameworks & methodologies, work 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 role, such as experience with end-to-end model development, experience in coding languages like Python / R / C++, as well as job-specific skillsets.

To be successful as a Quantitative Analytics Market Risk Modeler you should have experience with:

• You must have experience working as model developer in one or more of the following areas: FRTB IMA & SA, VaR, IRC / DRC, Expected Shortfall (ES), Economic Risk Capital, CCAR, Stress Testing, CVA, Exposure & Risk Factor Modelling (Interest Rates, Equities, Credit, Commodities etc.), Back-testing, Numerical Analysis.
• Hands on coding experience (as a full-stack developer / agile developer etc.
• Preferable language is Python, C/C++ etc)
• Hand on experience in Model Development and/or Model Validation (core development experience preferred).

Desired Qualification ;

• Advanced Technical Degree (Master's / PhD / similar or equivalents) - Statistics, Engineering, Numerical Analysis, Mathematics, Physics, Econometrics, Financial Engineering, Computer Science, Financial Mathematics
• Certification - GARP-FRM, PRM, CQF, AI/ML Courses, Programming.

This role is based out of Mumbai.

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.
• Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools.
• Development of high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation teams.
• Implementation of analytics and models in accurate, stable, well-tested software and work with technology to operationalise them.
• Provision of 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

• To advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness. Collaborate closely with other functions/ business divisions.
• Lead a team performing complex tasks, using well developed professional knowledge and skills to deliver on work that impacts the whole business function. Set objectives and coach employees in pursuit of those objectives, appraisal of performance relative to objectives and determination of reward outcomes
• If the position has leadership responsibilities, People Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L - Listen and be authentic, E - Energise and inspire, A - Align across the enterprise, D - Develop others.
• OR for an individual contributor, they will lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will identify new directions for assignments and/ or projects, identifying a combination of cross functional methodologies or practices to meet required outcomes.
• Consult on complex issues; providing advice to People Leaders to support the resolution of escalated issues.
• Identify ways to mitigate risk and developing new policies/procedures in support of the control and governance agenda.
• Take ownership for managing risk and strengthening controls in relation to the work done.
• Perform work that is closely related to that of other areas, which requires understanding of how areas coordinate and contribute to the achievement of the objectives of the organisation sub-function.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategy.
• Engage in complex analysis of data from multiple sources of information, internal and external sources such as procedures and practises (in other areas, teams, companies, etc).to solve problems creatively and effectively.
• Communicate complex information. 'Complex' information could include sensitive information or information that is difficult to communicate because of its content or its audience.
• Influence or convince 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.