SPG Pricing Model-Delegate Validation

Job Description

As a Barclays SPG Pricing Model-Delegate - Validation, you will sit within a highly quantitative team covering the valuation models used for Present Value and risk sensitivities for trading book derivatives. You will cover all asset-classes of derivativesand securities. The role is initially in the securitized products asset-class. You will document and defend the valuation models in front of the Model Validation team and other key stakeholders ensuring that the models are fully compliant with model risk governance. Barclays is a British universal bank. We are diversified by business, by different types of customers and clients, and by geography. Our businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, globalcorporate and investment bank, all of which are supported by our service company which provides technology, operations and functional services across the Group. We are an equal opportunity employer and we are opposed to discrimination on any grounds. We are currently operating in a hybrid working environment, meaning that many colleagues spend part of their working hours at home and part in the office, depending on the nature of the role they are in. Please discuss the detail of the working pattern optionsfor the role with the hiring manager. What will you be doing Maintaining and authoring accurate and comprehensive model documentation Defending this documentation and the models in front of the Model Validation team and other key stakeholders as relevant Actively ensuring that model changes are correctly reflected in the model documentation and subject to the established model governance processes Supporting the ongoing periodic reviews, validations and relevant updates to model documentation Actively supporting projects that have bearing on valuation models Supporting review / remediation in relation to the models to satisfy the requirements of the Model Validation team and other key stakeholders What were looking for: Knowledge of advances mathematical methods, in particular, stochastic calculus Relevant experience working in either development or validation of securitised products pricing models or similar quantitative position Knowledge of advances securitised products pricing models: re-pricing of Agencies, CLO, ABS and other securities and derivatives linked to pools of loans or other credit Knowledge of existing and potential direct / indirect model controls implemented within Front Office, Market Risk, Product Control and other relevant functions Skills that will help you in the role: Working knowledge of technology infrastructure surrounding model implementation Product knowledge including derivative products Where will you be working5 North Colonnade is home to our investment bank and is in the heart of Canary Wharf, just a short walk from our headquarters at Churchill Place. It boasts an array of onsite amenities such as dry cleaner as well as a deli and buffet style staff restaurant.The building is easily accessible by tube, docklands light railway and all major bus links. The atmosphere is second to none with a real buzz being created around the offices within. #LW2020