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Location Strategy ALM VP

3.00 to 4.00 Years   Noida   01 Aug, 2019
Barclays Shared Services Pvt Ltd
Job LocationNoida
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaGeneral / Operations Management
EmploymentTypeFull-time

Job Description

  • T his is a quantitative analyst role within QA Asset & Liability management with responsibility for:
  • Design, build and deliver robust and production quality statistical models and code within a unified library for use within Treasury, Barclays UK and Barclays International.
  • Assist with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioural balances.
  • Support quantification of Barclays funding and capital plans, forward looking impairments and pricing of liquidity and funding risk associated with the bank s asset / liability profile.
  • Support model development for quantification of interest rate risk on the banking book.
  • Deliver high quality documentation and presentations to support and maintain model and library use.
  • Facilitate and challenge discussion of modelling options with senior model owners.
  • Assist with development of statistical models for projection of Barclays balance sheet under different macro-economic scenarios
  • What we re looking for:
  • Post graduate degree in a quantitative discipline with a statistics component, preferably to PhD level.
  • Strong industry experience in quantitative finance.
  • Strong understanding of statistical and econometric modelling techniques e.g. time series analysis, regression models and various estimation techniques.
  • Able to deliver to tight deadlines on quantitative projects, and manage the end to end process of model delivery.
  • Proficient in Python (preferred) or R.
  • Skills that will help you in the role:
  • Strong experience in designing and developing statistical and econometric models.
  • Experience in analysing large volumes of data including cleaning and subsequent pattern identification and clustering.
  • Knowledge of EAD, PPNR and stress testing modelling.
  • Knowledge of relevant regulatory guidelines for CCAR, IFRS9 and IRRBB.
,

Keyskills :
bankingfinance toolsdelivery eadcan graduatecutting clusteringasset

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