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Barclays Corporate - B5 - Quantitative Analyst Job Details

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Barclays Corporate - B5 - Quantitative Analyst (Ref: 00018704)
Sector, Sub Sector: Other
Compliance Type: Regulatory/Compliance
Expertise: -
Company: Barclays
Location: London Europe, UK
Employment Type: -
Job Description:

This is a complex and specialised role for someone with outstanding quantitative skills. The roleholder will be involved in some or all of the following areas:


  • Using and developing Barclays Commercial Bank (BCB) Portfolio Management's portfolio modeling capabilities (particularly the use of KMV Portfolio Manager, XPRSS and other loss distribution models) to ensure that Barclays Corporate has the appropriate level of capital

  • Evaluating the impact of complex securitization and derivative transactions on the amount of economic and regulatory capital required across the Barclays Corporate Portfolio.

  • Contributing to the development of portfolio strategy tools which will be used by Barclays Corporate business areas in strategy setting

  • Developing forecasting models which assess risk and reward on corporate banking portfolios

  • Contributing to the Barclays Corporate Capital Management vision to have a fully marked-to-market and liquid asset portfolio

  • Developing complex cash flow models for bespoke transactions within Barclays Corporate.

  • Evaluating market risk and helping to construct hedges for new products

.

Essential


· Excellent skills in advanced quantitative analysis (including for example, stochastic calculus, statistical methods and/or cashflow modelling techniques)

· Ability to digest and interpret complex concepts and mathematical models underpinning portfolio modelling

· Thorough understanding of financial theory

· Familiarity and comfort in a range of IT tools, including programming languages, statistical software and databases


Preferred


· Quantitative modelling of debt portfolios (e.g. KMV Portfolio Manager, CreditManager, CreditRisk , multistep model) - underlying theory, theoretical development, practical usage, model comparisons and evaluations. Good understanding of Basel II and models behind. Quantitative modeling of portfolios.


Essential

· Ability to influence and communicate with non-technical people and Risk Professionals within the Bank

· A relevant professional qualification at masters level (e.g. physics, mathematics, economics, statistics)

· Very strong technical background


Preferred


· A PhD in a relevant subject (e.g. Physics, Mathematics, Mathematical Finance)

· Some exposure to quantitative finance
Job Ref No: 00018704