Quant Analyst AVP

Join us as a Quant Analyst!

QA Wholesale Credit Risk (WCR) develop models for capital (Basel), impairment (IFRS9), and stress testing (CCAR, PRA, EBA). Model outputs are utilised across a range of risk metrics, including RWA, pricing, Economic Capital, and for credit sanctioning. The model scope covers the Corporate and Investment Bank (CIB) within Barclays International (BI).

You will support the development, calibration, monitoring and documentation of credit risk models in line with regulatory requirements, e.g. Basel, CRR, CCAR, IFRS
9. You will enhance model management through automation and development of new approaches.

• Develop new credit risk models, contributing to the development through approval.
• Validate performance of new models.
• Document new models to required standards.
• Manage parts of complex projects, liaising with stakeholders to ensure project progress.

• Understanding the quantitative techniques used in developing and validating PD, LGD, and/or EAD models.
• Demonstrate ability to work in an environment where modelling decisions are regularly challenged.
• Post-graduate degree in a quantitative discipline, such as Statistics, Mathematics, Econometrics, Physics, Engineering, with experience of developing and applying statistical models within credit risk domain.
• Excellent knowledge of statistics, e.g. regression analysis, reject inference, decision trees, confusion matrix, cross-validation.
• Track record of producing high quality written communication including results of research and presentations for technical and non-technical audiences.
• Numerical programming ability using R and/or Python.
• Working experience with SQL.
• Experience in data visualization, cleaning, and feature extraction.

• Experience with the Latex document preparation system.
• Familiar with continuous integration development framework (e.g. Teamcity), and source control (P4, Git, SVN).

Location: Glasgow

To design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making.

• Design analytics and modelling solutions to complex business problems using domain expertise.
• Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools.
• Development of high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation teams.
• Implementation of analytics and models in accurate, stable, well-tested software and work with technology to ope rationalise them.
• Provision of ongoing support for the continued effectiveness of analytics and modelling solutions to users.
• Demonstrate conformance to all Barclays Enterprise Risk Management Policies, particularly Model Risk Policy.
• Ensure all development activities are undertaken within the defined control environment.

• To advise and influence decision making, contribute to policy development and take responsibility for operational effectiveness. Collaborate closely with other functions/ business divisions.
• Lead a team performing complex tasks, using well developed professional knowledge and skills to deliver on work that impacts the whole business function. Set objectives and coach employees in pursuit of those objectives, appraisal of performance relative to objectives and determination of reward outcomes.
• If the position has leadership responsibilities, People Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.
• OR for an individual contributor, they will lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will identify new directions for assignments and/ or projects,…