Join us at Barclays as a Front Office XVA Quant. QA Markets is responsible for the research, development and implementation of quantitative models used in running the Global Capital Markets business. QA XVA is the part of Quantitative Analytics (QA) responsible for XVA analytics, for example the Credit Valuation Adjustment (CVA) and Funding Valuation Adjustment (FVA). The team is based in London and Prague, and works closely with the XVA trading desk and other QA teams. XVA computation is particularly interesting since it requires modelling of the whole counterparty portfolio. This cross-asset nature makes for a high-dimensionality problem which is both mathematically and computationally sophisticated.
We have recently upgraded our XVA analytics to a new cutting-edge analytics library and are looking to accelerate delivery of new business functionality and broaden the scope of our calculations. We are looking for a highly capable and motivated person to help in this challenging and exciting project. In your role you will focus on model development, modelling support, and desk support for the Counterparty Risk Trading desk. Some specific accountabilities will include development of XVA Analytics in C++ and Python, contribution to the planning and design of next generation XVA Analytics, Front Office User support and appropriate documentation of models.

OTHER DESIRABLE SKILLS INCLUDE:

• XVA modelling experience
• Modelling/business/IT experience in XVA/CCR/interest rates/FX/inflation/equity
• Python coding experience
  You may be assessed on the key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen strategic thinking and digital and technology, as well as job-specific technical skills
  You will be based in our Canary Wharf, London Office.

ACCOUNTABILITIES

• Development and implementation of quantitative models and strategies to derive insight into market trends and optimize trading decisions, pricing, and risk management across various financial products and markets.
• Working closely with sales teams to identify clients’ needs and develop customised solutions.
• In-depth research, data analysis, and statistical modelling to derive insights into market trends, pricing, and risk dynamics.
• Provide front office infrastructure support though ownership and maintenance of analytical libraries.
• Provision of expertise on quantitative methodologies, technological advancements, and industry best practices to drive innovation within the trading environment.

To provide quantitative and analytical expertise to support trading strategies, risk management, and decision-making within the investment banking domain, applying quantitative analysis, mathematical modelling, and technology to optimise trading and investment opportunities.