Director, Financial Quantitative Analyst, Capital Risk

What will you be doing?

• On behalf of a global financial services organization, perform senior level market risk related stress testing in the Capital Risk organization, including stress calculations, scenario design for market and counterparty exposures, portfolio analytics, and stress framework design including analyzing historical trends, trading profiles, and risk concentrations.

• Develop and implement Global Market Shock Scenario methodology to stress trading and counterparty exposures and generate stress losses used in annual Comprehensive Capital Analysis and Review (CCAR) by Federal Reserve Board.

• Develop quantitative models to project risk-weighted assets for each internal business within investment banking.

• Define level of severity through direct market shock calibration across thousands of risk factors associated with internal scenario design.

• Formulate and apply mathematical modeling techniques for stress calculations, creating risk reports for exposure monitoring, analysis, and market data validation across all asset classes for senior management and regulators.

• Leverage modeling techniques including logistic and multi-linear regressions, Monte Carlo simulations, and Brownian bridge to project macro desk Profit and Loss at instrument level.

• Develop frameworks and valuation models for estimating market risk stress losses associated with the trading book.

• Utilize advanced modeling techniques to measure Market Risk (VaR) and use Greeks to perform market risk analysis on the portfolio. 

• Analyze risks driving traded products, including bonds, equities, derivatives, and securitized products.

• Participate in the regulatory stress testing program for market and counterparty risk.

• Collaborate with the model validation team and auditors to ensure sound risk management practices are followed.

• Supervise at least one (1) subordinate team member.

What we’re looking for:

Must have a minimum of a Master’s degree, or foreign equivalent, in Mathematics, Finance, Statistics, Business, Economics, or a related mathematical and quantitative field of study and at least five (5) years of experience as a Quantitative Analyst, Quantitative Researcher, Quantitative Engineer, Quantitative Modeler, Risk Analyst, Systems Engineer or related occupation.

Must have at least one (1) year of experience with each of the following required skills:

• Developing complex valuation models using applied probability concepts;

• Time series modeling including regression analysis to forecast revenues under stress based on historical events;

• Financial instrument pricing to calculate portfolio risks including utilizing Greeks to break down risk exposures into risk strikes;

• Addressing time pressing issues within testing production cycle;

• SQL, VBA, and Python packages, including Pandas, Numpy, Statsmodel, and Seaborn for scenario generation, implementation, and automating risk reports;

• Leveraging regulatory requirements to write functional requirements documents;

• Presenting stress-testing results to senior stakeholders and regulators.

Where will you be working?

You will be working at our Americas Headquarters at 745 Seventh Avenue. This 37-story office tower is located in Times Square in the heart of Manhattan and features a cafeteria, fitness center and state-of-the-art LED signage on the facade of the building. The building is easily accessible to Restaurants, Shops and Public Transportation. Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.

We’re a global, vital and highly respected financial organisation with an inspiring Purpose. Operating in 50 countries and employing around 83,000 people across the world, we help communities, individuals and businesses thrive. And we’ve created financial solutions and technology that the world now takes for granted. A career with us can offer incredible variety, depth and breadth of experience, and the chance to learn from some of the best minds in technology and finance.