QA Macro Muni Quant AVP

What will you be doing?

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.

Salary / Rate

Minimum/yr: $150,000 per year
Maximum/yr: $225,000 per year

Purpose of the role

To design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making

Accountabilities

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.

Assistant Vice President Expectations

To 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.
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 lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments.
They will 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. 'Complex' information could include sensitive information or information that is difficult to communicate because of its content or its audience.
Influence or convince stakeholders to achieve outcomes.