Job Description

Purpose of the role

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

Accountabilities

• 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 operationalise 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.

Vice President Expectations

• To contribute or set strategy, drive requirements and make recommendations for change. Plan resources, budgets, and policies; manage and maintain policies/ processes; deliver continuous improvements and escalate breaches of policies/procedures..
• If managing a team, they define jobs and responsibilities, planning for the department’s future needs and operations, counselling employees on performance and contributing to employee pay decisions/changes. They may also lead a number of specialists to influence the operations of a department, in alignment with strategic as well as tactical priorities, while balancing short and long term goals and ensuring that budgets and schedules meet corporate requirements..
• 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 be a subject matter expert within own discipline and will guide technical direction. They will lead collaborative, multi-year assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. They will train, guide and coach less experienced specialists and provide information affecting long term profits, organisational risks and strategic decisions..
• Advise key stakeholders, including functional leadership teams and senior management on functional and cross functional areas of impact and alignment.
• Manage and mitigate risks through assessment, in support of the control and governance agenda.
• Demonstrate leadership and accountability for managing risk and strengthening controls in relation to the work your team does.
• Demonstrate comprehensive understanding of the organisation functions to contribute to achieving the goals of the business.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategies.
• Create solutions based on sophisticated analytical thought comparing and selecting complex alternatives. In-depth analysis with interpretative thinking will be required to define problems and develop innovative solutions.
• Adopt and include the outcomes of extensive research in problem solving processes.
• Seek out, build and maintain trusting relationships and partnerships with internal and external stakeholders in order to accomplish key business objectives, using influencing and negotiating skills to achieve outcomes.

All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.

This role sits in BX within the CIO Strategy team, reporting into the Head of CIO Strategy.  As a Quantitative Analyst (VP) within the CIO Strategy team you will play a pivotal role in designing and implementing advanced quantitative models that underpin our investment strategy.  You will collaborate closely with senior stakeholders to provide actionable insights that guide portfolio decisions, resource allocation, and performance evaluation.

Key Accountabilities

The successful candidate will be accountable for the following key objectives:

1. Developing quantitative models in Python

• Portfolio construction and optimisation models that are entity aware and consider expected returns, risk and resource constraints (e.g. balance sheet, RWAs, market risk limits, credit risk limits, LCR and funding costs)
• Strategy and market timing models e.g. Regime analysis, seasonality, RV, momentum, duration signal
• Maintaining and developing highly mapped trade level data to create useful MI e.g. exposure reporting, risk reporting, financial metrics (e.g. RoRWA, RoE), liquidity and capital utilisation

2. Risk and PV Analysis

• Creating live risk and PV views
• Creating tools to decompose PV/OCI
• Performing risk, volatility and correlation analysis to create advanced risk metrics

3. Portfolio Sensitivity Analysis

• Developing and performing risk management analysis (e.g. scenario modelling, monte-carlo simulation)
• Developing tail hedging tools and proposing risk mitigating hedge packages (e.g. swaptions, invoice spreads)

4. Carry and OCI Forecasting

• Developing models that forecast each component of carry (coupon, funding, swap and pull-to-par)
• Developing OCI forecast models
• Total return analysis and decomposition
• Analysing forward CET1 impact from carry and OCI forecasts

Person Specification

• A strong quantitative and analytical skillset is essential, demonstrated with an advanced degree in quantitative finance, mathematics, statistics, economics, engineering or a related field and relevant work experience
• Expert in Python for data analysis, time-series analysis, optimisation techniques and automation.  Understanding of data structures & algorithms, object-oriented programming and various libraries (e.g. NumPy, SciPy, Matplotlib, Seaborn, scikit-learn)
• Deep knowledge of quantitative finance, portfolio theory and risk management
• Direct experience in Fixed Income, Rates with a strong interest in financial markets, economics and politics
• Trade execution experience across fixed income is not essential
• Strong stakeholder management skills and ability to work collaboratively across entity TFIs and senior management in a fast-paced environment

Essential Skills/Basic Qualifications:

• Undergraduate or equivalent degree in a quantitative subject (e.g. Mathematics, Econometrics, Mathematical/Quantitative Finance, Economics, Physics, Engineering)
• Expert in Python
• Strong quantitative skills
• Knowledge of portfolio theory
• Strong interest in macroeconomics and politics

Desirable Skills/Preferred Qualifications:

• Understanding of Barclays risk systems
• Technical knowledge across fixed income products and derivatives

Stakeholder Management and Leadership

• Builds and grows internal networks to better understand Investment teams’ requirements and each entities’ unique financial position regarding capital, liquidity and funding
• Builds and grows external networks to better understand market and economic developments to provide better allocation decisions, discover new investment opportunities and provide more insightful output for the CIO
• Openly shares knowledge and expertise to help deliver tangible progress at the individual and team development level
• Participates actively in the firm’s Citizenship programme, taking into account the needs of all our stakeholders and making decisions which, in the short and long-term, are positive for our customers and clients, shareholders, colleagues and the communities in which we operate. 

Decision-making and Problem Solving

• Contributes to projects and change management to improve desk processes, regulatory remediation, or product portfolio development and expansion. Provides guidance and direction to other colleagues as part of this process
• Understands where the desk fits at firm level and leverages this understanding to suggest improvements to on-desk processes and improve governance and control structures

You may be assessed on key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen, strategic thinking and digital and technology, as well as job-specific technical skills.