Model Development Role - ALM & Treasury Domain - BFS

We have opportunity for Model Development along with Credit Risk Modeling profile, Having exposure in Python also.

This 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.

What will you be doing?

- 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 analyzing 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.

Location: Delhi NCR