Quantitative Model Developer

Job description

Job Title

Quantitative Model Developer

Location

Prague,. Czech Republic

Quantitative Analytics (QA) is a global organisation of highly specialized quantitative modellers and developers. QA is led by Marco Naldi, who is a member of Risk Exco.
QA is responsible for developing, testing, implementing and supporting quantitative models for valuation and risk management of traded assets, regulatory and economic capital, impairments, fraud detection, asset-liability management, operational risk, net revenue and balance sheet forecasting, and stress testing across Barclays.
The role is in the global Quantitative Analytics (QA) function, working in the Market Risk (MR) team. QA MR is responsible for the research, development, and documentation of the regulatory capital models for market-risk RWAs. The team is part of the QA Trading Book Risk (TBR) group in the investment bank.
We are an equal opportunity employer and we are opposed to discrimination on any grounds.

What will you be doing?

Participate in the development and maintenance of production regulatory market risk models. The area of activities include: supporting AWS cloud based risk model systems, supporting runtimes using virtual and serveless hardware, deployment quantitative models to production. The systems include market data loading, pricing , sensitivity based risk analytics , historical back-testing, statistical analysis of relevant market data, numerical implementations of analytical modules in Python.
• Key Accountabilities
o Maintenance of current risk applications and models
o Come up with clear and solid designs to implement proposed modelling changes, to deliver in dynamic, agile, and often ambiguous contexts
o Deliver prototypes using or extending as appropriate our Python-based modelling platform
o Develop the models in C++/Python/R and assist IT to integrate them into the production system.
o Participate to the design and the development of a robust, scalable, and extendible Market Risk solutions and their integration into the Risk engines framework.
o Support Risk, FO and IT users of our analytics

• Stakeholder Management and Leadership
o Candidates must be able to, and to communicate effectively with stakeholders (Risk IT, Project Managers, Model Validation, Risk Managers) and colleagues in QA. Strong communication skills, including to non-technical audiences are essential
• Decision-making and Problem Solving
o A successful candidate must be proactive and detail-oriented, yet adaptable to changing requirements and flexible at the same time.
o The candidate will be expected to show high level of initiative, motivation and drive; ability to work independently and to influence progress

• 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:

• Masters Degree
• 2+ Years Experience in supporting machine learning models in production
• 2+ Years Hands-on Programming skills in Python or C++.
• AWS cloud experience, Terraform, Chef, CloudWatch, Docker, Mongo DB
Skills that will help you in the role:
• Experience supporting AWS cloud based risk model systems, supporting runtimes using virtual and serveless hardware, deployment quantitative models to production.
• Experience in development and support of quantitative development process, including statistical and machine learning models.
• Analytic skills: financial mathematics, time series, statistical analysis, numerical analysis, etc.

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.