VP – Analytics Engineer

Purpose of the role

To provide quantitative and analytical expertise to support trading strategies, risk management, and decision-making within the investment banking domain, applying quantitative analysis, mathematical modelling, and technology to optimise trading and investment opportunities. 

Accountabilities

• Development and implementation of quantitative models and strategies to derive insight into market trends and optimize trading decisions, pricing, and risk management across various financial products and markets.
• Working closely with sales teams to identify clients' needs and develop customised solutions.
• In-depth research, data analysis, and statistical modelling to derive insights into market trends, pricing, and risk dynamics.
• Provide front office infrastructure support though ownership and maintenance of analytical libraries.
• Provision of expertise on quantitative methodologies, technological advancements, and industry best practices to drive innovation within the trading 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.

What will you be doing?

Barclays Capital Inc. seeks VP – Analytics Engineer in New York, NY (multiple positions available):

• Support trading desk and risk management by studying the financial market to determine how market movements could affect MBS valuation and risk.

• Implement and support a C++17 analytical library to provide valuation, risk and profit & loss (P&L) explanation for pass-throughs (mortgage pools and TBAs), collateralized mortgage obligations (agency and non-agency residential and commercial mortgage-backed securities, asset backed securities), collateralized loan obligations (CLOs) and derivative products such as asset-backed credit default swaps (ABCDS), total return swaps (TRS) and balance guarantee swaps (BGS).

• Implement and support in C++ interest rates models for valuation of mortgages, including the SABR (stochastic alpha-beta-rho) model, Libor Market Model (LMM), current coupon model and primary-secondary spread model.

• Collaborate with senior managers to deliver quarterly FR Y-14A/14Q reports for Comprehensive Capital Analysis and Review (CCAR), coordinate validation and testing of across teams, and propose solutions to pricing and risk issues.

• Work with stakeholders of securitized financial products analytics, including market risk managers, model risk management, finance, product controls, and technology teams on testing and delivery of quantitative analytics and models.

• Gather pricing requirements from users and produce user guides and technical and statistical documentation.

• Work on Securitized financial products analytics and model documentation to ensure compliance with model risk regulatory requirements.

• Analyze cash flows of mortgage-backed securities (MBS) in INTEXcalc, conduct scenario analysis and present results to senior stakeholders.

• Code against Intex CMO subroutines in C++ to generate cash flows of mortgage-backed securities.

• May telecommute.

Salary / Rate Minimum/yr: $155,000 per year

Salary / Rate Maximum/yr: $225,000 per year

The minimum and maximum salary/rate information above include only base salary or base hourly rate. It does not include any other type of compensation or benefits that may be available.

This position is eligible for incentives pursuant to Barclays Employee Referral Program.