AVP, Quantitative Analyst, Fixed Income Rates Flow
Barclays Capital - New York, NY

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Duties: On behalf of a global financial institution, utilize C++, VBA, Object Oriented Programming, and Object Oriented Design to develop quantitative analytics library to provide quantitative support to front office pricing and risk management of fixed income derivatives instruments. Develop and implement quantitative models for repo instruments, bonds, linear interest rate products, inflation-linked products, and vanilla options pricing and risk analytics. Utilize knowledge of financial mathematics, statistics, probability theory, time series analysis, and quantitative analysis to research, design, and develop trading strategies, perform statistical analysis of strategy performance, develop forecasting models and trading algorithms, and perform back-testing of trading strategies. Utilize knowledge of fixed income markets, instruments, and no-arbitrage pricing to perform quantitative modeling of interest rate derivatives. Perform portfolio risk modeling and design and develop portfolio margining methodology. Liaise with business to ascertain requirements and propose solutions to price, risk, generate, and manage financial products. Liaise with quantitative teams to ascertain global standards for pricing, curve build, and risk. Produce user guides and technical documentation.

Requirements: PhD. in Mathematics, Statistics, Engineering (any), foreign equivalent, or related field and one (1) year of experience as a Quantitative Analyst, Quantitative Associate, or related occupation, for a financial institution. Experience must include: (1) Utilizing C++, VBA, Object Oriented Programming, and Object Oriented Design to develop quantitative analytics libraries; (2) Utilizing knowledge of financial mathematics, statistics, probability theory, time series analysis, and quantitative analysis to research, design, and develop trading strategies; (3) Utilizing knowledge of fixed income markets, instruments, and no-arbitrage pricing to perform quantitative modeling of interest rate derivatives; (4) Performing portfolio risk modeling and designing and developing portfolio margining methodologies.

Barclays is an EEO/AA employer.

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Barclays Bank is the flagship subsidiary of global financial group Barclays PLC. The bank is primarily active in the UK, where it has some...