QA Macro Muni Quant AVP

Barclays•New York, NY

33d•$150,000 - $225,000•Onsite

About The Position

The purpose of the role is to design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making. This includes designing analytics and modeling solutions to complex business problems using domain expertise, collaborating with technology to specify dependencies for analytical solutions, developing high-performing and well-documented analytics and modeling solutions, implementing these solutions in stable, well-tested software, and providing ongoing support for their continued effectiveness. The role also requires demonstrating conformance to Barclays Enterprise Risk Management Policies, particularly Model Risk Policy, and ensuring all development activities are undertaken within the defined control environment. As an Assistant Vice President, the role involves advising and influencing decision-making, contributing to policy development, and taking responsibility for operational effectiveness. It requires collaboration with other functions and business divisions, leading a team performing complex tasks, setting objectives, coaching employees, and appraising performance. For individual contributors, this involves leading collaborative assignments, guiding team members, identifying the need for specialized expertise, and identifying new directions for assignments. The role also involves consulting on complex issues, advising People Leaders on escalated issues, identifying ways to mitigate risk, developing new policies/procedures, and taking ownership for managing risk and strengthening controls. It requires performing work closely related to other areas, understanding how areas coordinate, and collaborating with business-aligned support areas to stay updated on business activity and strategy. The role involves complex analysis of data from multiple internal and external sources to solve problems creatively and effectively, and communicating complex information, which may include sensitive or difficult-to-communicate content. Influencing or convincing stakeholders to achieve outcomes is also a key aspect. All colleagues are expected to demonstrate Barclays Values (Respect, Integrity, Service, Excellence, Stewardship) and the Barclays Mindset (Empower, Challenge, Drive).

Requirements

Maintain and improve Muni derivatives models in the C++ analytics library and extend them to support SOFR index products.
Liaise with US Municipal derivatives trading desk on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and library release.
Develop python-based scripts that interfaces with C++ pricing library to deliver analytics to end users.
Enhance model management through automation and development of new approaches.
Support the Muni Derivatives desk including short rate model daily global calibration, PL explaining resolution and model reconciliation.
Improve and maintain Muni Total Return Swap pricing, infrastructure and maintain US Municipal Cash analytics.
Develop and maintain dialogue with colleagues, model owners, validation teams and other external stakeholders on model developments, reviews, rollout, maintenance and usage.

Nice To Haves

The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.
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.

Responsibilities

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.
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.
Lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments.
Identify new directions for assignments and/ or projects, identifying a combination of cross functional methodologies or practices to meet required outcomes.
Consult on complex issues; providing advice to People Leaders to support the resolution of escalated issues.
Identify ways to mitigate risk and developing new policies/procedures in support of the control and governance agenda.
Take ownership for managing risk and strengthening controls in relation to the work done.
Perform work that is closely related to that of other areas, which requires understanding of how areas coordinate and contribute to the achievement of the objectives of the organisation sub-function.
Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategy.
Engage in complex analysis of data from multiple sources of information, internal and external sources such as procedures and practises (in other areas, teams, companies, etc).to solve problems creatively and effectively.
Communicate complex information.
Influence or convince stakeholders to achieve outcomes.
Maintain and improve Muni derivatives models in the C++ analytics library and extend them to support SOFR index products.
Liaise with US Municipal derivatives trading desk on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and library release.
Develop python-based scripts that interfaces with C++ pricing library to deliver analytics to end users.
Enhance model management through automation and development of new approaches.
Support the Muni Derivatives desk including short rate model daily global calibration, PL explaining resolution and model reconciliation.
Improve and maintain Muni Total Return Swap pricing, infrastructure and maintain US Municipal Cash analytics.
Develop and maintain dialogue with colleagues, model owners, validation teams and other external stakeholders on model developments, reviews, rollout, maintenance and usage.