Quantitative Analytics (Structured Products and Strategies)

Job description

AVP, Quantitative Analytics (Structured Products and Strategies)

Hong Kong


Quantitative Analytics Structured Products and Strategies (QA SPS) team is part of the Global Quantitative Analytics group and is responsible for research, development and implementation of quantitative models for the equity exotics options and quantitative investment strategies businesses. The team works closely with the trading desk to provide cutting-edge valuation and risk management solutions, and with IT to build strategic technology platforms for the bank. The role will develop pricing and risk management models in the QA library, as well as provide quantitative analysis and advice regarding the usage of our models.

What will you be doing?

· Provide everyday technical support on the models and analytics framework for equity structured products and quantitative investment strategies businesses and related functions, including IT and Middle Office
· Implement ad-hoc solutions, including coding payout functions, for the trading desk and related functions
· Provide analysis and in-depth understanding of the numerical and mathematical behaviour of models, and their application to different product types or business use-cases
· Develop and extend models and methodologies for pricing and risk managing equity structured products and quantitative investment strategies
· Develop tests, estimation and calibration procedures for the models and methodologies
· Write documentation for the models and methodologies including the estimation and calibration procedures
· Implement the models and methodologies and the estimation and calibration procedures in C++ and Python in Barclays' Quantitative Analytics Libraries
· Monitor the daily performance of the models and methodologies


What we're looking for:

· Post-graduate qualification in Mathematics, Statistics, Engineering, Quantitative Finance or another quantitative field.
· 2-4 years of experience in a quantitative analytics role
· Solid knowledge of financial mathematics, stochastic calculus and option pricing theory, gained through a post-graduate degree or work experience.
· Experience coding in C++. Experience with mathematical and/or statistical modelling.
· Good written and verbal communication and able to explain technical concepts to non-technical users


Skills that will help you in the role:

· Knowledge of additional languages such as Python
· Specific experience of equity option markets
· Experience developing in a large shared pricing library with multiple developers
· Experience testing models and preparing technical documentation


Risk and Control Objectives

All Barclays colleagues have to 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.

Where will you be working?

Quantitative Analytics (QA) employs highly specialized quantitative modellers and developers allocated to three broad classes of expertise:

1. QA Markets teams - located in London, New York, Hong Kong and Singapore – develop and implement modeling solutions supporting the trading operations in the areas of Macro, Equity, Credit and Structured Products.

2. QA Risk, Finance and Treasury (RFT) teams - located in London and New York – design and implement quantitative models for the calculation of regulatory capital, net revenue and balance sheet forecasting, and capital and liquidity planning.

3. QA central teams support all Markets and RFT groups with project management, coordination among work streams, and the development and maintenance of a common analytic platform.

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.