CMO Quantitative Analyst

Company: Barclays
Location: New York
Posted on: February 25, 2021

Job Description:

Area of Expertise: Risk and Quantitative Analytics Contract: Permanent Quantitative Analyst
New York

As a Barclays Quantitative Analyst, you will join the Quantitative Analytics Market Risk team who develop and support all of our risk, capital and risk-weighted asset models under the Market Risk umbrella of Barclays' investment bank. The teams focus is on supporting the Securitized Products business and undertaking the extension of our risk models for Collateralized Mortgage Obligations (CMOs) and coordinating validation, implementation, and usage of those models in production with other stakeholders in Risk Management, Model Validation, and IT.-- Barclays is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We've helped millions of individuals and businesses thrive, creating financial and digital solutions that the world now takes for granted. An important and growing presence in the USA, we offer careers providing endless opportunity. What will you be doing? --- Participating in the development and maintenance of regulatory and internal risk models including VaR, IRC, CRM and FRTB with particular focus on Securitized Products
--- Creating theoretical modeling, empirical-testing, historical back-testing, statistical analysis of relevant market data
--- Working with numerical implementations of analytical modules, model and methodology documentation
--- Providing support for present risk applications and models
--- Providing analytical support to our Risk Managers What we're looking for: --- Master's degree or higher in a quantitative field--
--- Three+ years of modeling and development experience in Risk methodology
--- Three+ years of financial services experience in Securitized Products, in particular Agency CMOs and pass-throughs
--- Three+ years of hands-on programming experience in Python and C++ Skills that will help you in the role: --- Experience in developing, documenting, or validating market risk or quantitative pricing models, following SR11-7 standard
--- Detailed knowledge of several financial products such as Interest rate products including exotics, Corporate Bonds and Credit Derivatives, Equities, FX, Commodities--
--- Analytic skills: financial mathematics, time series, statistical analysis, numerical analysis, etc.--
--- Hands-on knowledge of VaR-type models, Statistics, Back office systems 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. Take a look at the map to see what's nearby. Train Stations & Bus Stops, Gyms, Restaurants and more.

Keywords: Barclays, New York , CMO Quantitative Analyst, Professions , New York, New York