As Barclays Market Risk Model Developer Assistant Vice President you will undertake the development and enhancement of risk models and other Market Risk products, and to coordinate the efficient roll-out of such models with stakeholders in IT, Model Validation and other teams. As a member of QA Market Risk you will be responsible for the full development lifecycle of the market risk models according to the standards defined by Basel, local governing regulators and risk management.
Barclays is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We've helped millions of individuals and businesses thrive, creating financial and digital solutions that the world now takes for granted. An important and growing presence in the USA, we offer careers providing endless opportunity.
What will you be doing?
??? Designing and implementing solid risk models and/or extensions to existing ones, and, importantly, deliver in dynamic, agile, and often ambiguous contexts ??? Maintaining and enhancing existing Market Risk Engine (MRE) framework and FRTB calculators, and integrate new FRTB IMA functionality into it ??? Working with partners in IT and RIS teams to integrate the systems ??? Maintaining current risk applications and models, including our Market Risk Engine (MRE) framework ??? Working with colleagues in our group, to support Risk, Front Office and IT users of our analytics
What we're looking for:
??? Master's degree or higher in sciences, engineering, or finance or equivalent experience ??? 3+ years hands-on development experience in Python, including scientific packages numpy and pandas, multi-processing, caching, and handling complexity. ??? Programming experience in shared codebase: source control, unit testing, continuous integration ??? Quantitative & statistical skills
Skills that will help you in the role:
??? Strong experience with data structures, large data sets, and working around data quality and integrity issues ??? Experience with software architecture, high-performance computing, and databases (SQL, MongoDB) ??? Some experience with market risk models and/or pricing models. ??? Great understanding of risk metrics and tail statistics
Where will you be working?
You will be working at our Americas Headquarters at 745 Seventh Avenue. This 37-story office tower is located in Times Square in the heart of Manhattan and features a cafeteria, fitness center and state-of-the-art LED signage on the facade of the building.