QA Counterparty Risk Quantitative Developer

Job description

Job Title

QA Counterparty Risk Quantitative Developer

Location

Prague, Czech Republic

Barclays Risk is mandated by the Barclays Board with the overall management and oversight of risk management practices group-wide. It operates across the organisation, and globe to protect Barclays' financial performance and reputation. The role is located within the Investment Bank Risk division.
The role is in the global Quantitative Analytics function, working in the Counterparty Credit Risk (CCR) team.
We are an equal opportunity employer and we are opposed to discrimination on any grounds.

What will you be doing?

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 Development of quantitative library functionality for counterparty risk, Monte Carlo and graph distribution frameworks.
o Participate in code authoring pipeline including detailed code reviews.
o Design of appropriate solutions within defined remit

• Stakeholder Management and Leadership
o Building relationships and trust with developers and quants across QA.
• Decision-making and Problem Solving
o The team is currently concentrated in London, meaning the successful candidate must be able to self-direct and solve problems autonomously.
• Risk and Control Objective
o 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.

What we're looking for:

• Bachelor's degree in a Computer Science, Mathematics, Physics or other scientific discipline from a top university.
• Extensive C++ experience including boost and C++14.
• Focus on high quality code delivery, including thorough unit tests and writing/acting upon detailed code reviews.
• Experience dealing with large-scale libraries and builds involving multiple interacting components.
• Excellent algorithmic design and reasoning skills.
• Excellent problem solving skills.
• Self-starter able to work independently, and actively seek input from co-workers when required.
• Proficient in both spoken and written English

Skills that will help you in the role:

• Experience coding in a quant library.
• Experience with multi-threading, multi-processing and/or grid distribution.
• Functional programming concepts.
• Monte Carlo simulation.
• Large-scale distributed graph computations.
• Python, including numpy and pandas.
• Experience targeting GPUs.
• Basic knowledge of financial mathematics.
• Basic knowledge of financial products including derivatives.

Where will you be working?

With 120 thousands of employees and over 326 years of tradition, we are one of the largest banking company in the world. Over the years, we have come up with many revolutionary ideas that changed the way people think about their finances; whether it was the first credit card issued in Great Britain or the first ATM machine, we have always been trying to push the banking business a little further. Our Prague office is part of the Operations and Technology Division, and as such, we try our best to stay at the top of our technological game. However, the technology itself is not the most important thing. What matters the most to us is the way our ingenuity can help provide better service to our customers and make life easier for our employees.
Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.

Our Values

Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.

Our Diversity

We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.

Our Benefits

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.