Markets Strats – VP

About the role

Barclays Capital Inc. seeks Markets Strats – VP in New York, NY (multiple positions available).

Responsibilities

• Liaise with U.S. rates trading desks (cash, flow derivatives, option & exotics) on issues ranging from risk management, ad-hoc product analysis, production rollout, desk support and analytics library release.
• Contribute and enhance interest rate term structure models, such as Cheyette Short Rate Model or Libor Market Model (LMM), within C++ analytics library.
• Develop GUI solutions for real-time visualization of outright and basis risk, such as ASW spread risk, on-off-basis, fut-cash-basis, as well as PnL, and PCA analysis for the USD government bond trading desk.
• Collaborate with Strats and Quant Infrastructure teams to develop fast ticking U.S. Treasury bonds and bond futures pricing risk and PL engine.
• Drive innovation through research and prototyping to enhance bond curve construction and modelling, with emphasis on relative value.
• Support and maintain analytics for the Libor fallback of the USD option and exotics interest rates derivative book.
• Leverage statistical methods, including linear algebra techniques and principal component analysis (PCA), to identify key risk drivers and latent factors influencing interest rate products and portfolio exposures.
• Build and maintain Python-based automation pipelines to generate trading desk reports, such as option exercise impact, schedule change impact, or end-of-day risk.

Qualifications

Minimum/yr: $157,581
Maximum/yr: $225,000

Skills

Quantitative and analytical expertise, mathematical modelling, technology, market trends, trading strategies, risk management, data analysis, statistical modelling, programming (C++, Python), financial instruments, derivatives, bond curve construction, PCA, risk management tools, financial software, financial modelling, quantitative analysis, statistical methods, financial products, financial markets, financial services, financial technology, financial engineering, financial mathematics, financial modeling, financial analysis, financial reporting, financial reporting systems, financial reporting software, financial reporting tools, financial reporting processes, financial reporting procedures, financial reporting standards, financial reporting regulations, financial reporting guidelines, financial reporting frameworks, financial reporting systems, financial reporting software, financial reporting tools, financial reporting processes, financial reporting procedures, financial reporting 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