Informace o pracovním místě
The hiring team is responsible for analytics for computing counterparty credit risk (CCR) for the bank's derivatives portfolio. These are implemented in a shared quantitative library (Omega) which aims to reuse common high-performance pricers across all use cases, requiring a high degree of collaboration with quants and quant developers across QA teams representing a wide-range of areas of the bank. The candidate will be expected to take full responsibility of delivering counterparty credit risk models, including: requirements gathering, data sourcing, prototyping, production implementation, testing and documentation. He/she might be required also to work/liaise IT and Risk teams located mainly in London. • Key Accountabilities o Develop, maintain and extend the C++ libraries to deliver quantitative models and risk management of financial products across various asset classes, including Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets and Counterparty Risk Trading using Monte Carlo and graph distribution frameworks. o Participate in code authoring pipeline including detailed code reviews. o Design of appropriate solutions within defined remit. o Implement and extend prototype application (python) as necessary and on the C++ libraries following its full deployment life-cycling liaising with IT teams. o Help and support modellers to deliver prototypes using or extending as appropriate our customized python-written platform. o Perform ad hoc computations and assess numerical implementations of analytical modules, models, and methodology. o Provide technical support to all members of the team and beyond. o Mentoring junior team members and help with the hiring process when necessary • Stakeholder Management and Leadership Main stakeholders are Risk, IT, IVU and occasionally Front Office. Stakeholders involved can be both technical and not technical. Therefore, the candidate must be able to communicate clearly with users of different technical ability. It is particularly important to maintain a strong working relationship with all our colleagues and to be able to provide constructively challenge on software design decisions. • Decision-making and Problem Solving The position is suitable for proactive individual which can work with minimum supervision and can thrive in a demanding environment. Be able to build consensus and influence decision. Software design is a key part of the role as we need to ensure correctness, maintainability and suitability for purpose in a complex and changing architectural landscape. It is important decisions are made with stewardship in mind, as models and systems can have lifetimes up to 20 years. We are in the foundational stage of a new library build-out, so it is important that the right decisions get made in order to ensure agility and extensibility going forward. • Risk and Control Objective Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Barclays Policies and Policy Standards.
The candidate should be ideally educated to Bachelor's degree level in quantitative subjects i.e. Computer Science, Engineering, Physics or Mathematics and be at ease with financial math and models. The candidate must: • Be a senior quantitative developer in his current role, have strong competence in modern C++14 (expert level) and deep knowledge of numeric methods, data structures and algorithms. • Have demonstrated experience in working with complex C++ library writing framework and analytic code. • Very confident with source controls, continuous integration systems and several technologies. • Working knowledge of Python, including numpy and pandas. • Monte Carlo simulation. • Proficient in both spoken and written English Skills that will help you in the role: • Have knowledge of financial maths • Have product knowledge on one or more asset class (IR, FX, Credit, Equity). • Experience with multi-threading, multi-processing and/or grid distribution. • Ideally Master level educated, with some experience in the financial industry. • Knowledge of functional programming. • Familiarity with (or willingness to learn) vectorization, AAD, computational graphs and incremental computation concepts. • Experience targeting GPUs.
Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility then please discuss this with us.
| Mzda: | Dle domluvy |
| Počet míst: | 1 |
| Úvazek: | Plný |
| Min. vzdělání: | Základní |
| Lokalita: | Praha |
