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Director - Collateral Modeling in QA Sec Products
Barclays Capital
New York, NY, United States
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Description
About Barclays
Barclays is a transatlantic bank offering personal, corporate and investment banking, credit cards and wealth management, with a very strong presence in the UK and the US. We strive to be the bank of choice by providing superior services and we support our stakeholders with long-term, sustainable returns.
We are diversified by business line, geography and customer through our divisions, Barclays UK and Barclays International. Our core business is strong, with exciting prospects, and we are well positioned to deliver long-term value.
Barclays Shared Growth Ambition is our approach to citizenship and a sustainable business model. We seek a prosperous future for all our clients, customers, and the communities we serve.
The delivery of our strategy is underpinned by the energy, commitment and passion of our people, and we are clear on our common purpose: to help people achieve their ambitions, in the right way.
About Barclays in the US
Barclays offers corporate and investment banking and credit card services in the US. Our 10,000 US colleagues are located in offices across the country, with headquarters in New York City. In 2017, Barclays announced plans to create a world-class campus in Whippany, New Jersey, for our Technology, Operations and Functional teams in the US. Other principal locations include Delaware, Nevada, Ohio and Maine.
About Quantitative Analytics Desk Strategy
QA Desk Strategy is a global group of highly specialized quantitative modellers and developers, led by Regis Van Steenkiste based in New York.
The group is responsible for developing, testing, implementing, and supporting all quantitative models used for valuation and risk management across all asset classes. The Quantitative Desk Strategists work closely with their business partners to develop models and tools and perform analyzes to help guide business decisions, manage risk, formulate and test quantitative strategies, and drive revenue generation.
About Quantitative Analytics Securitized Products
QA Securitized Products is a team within QA Desk Strategy which focuses on analytics and models for securitized products. The team is led by Enping Zhao.
EEO
It is the policy of Barclays to ensure equal employment opportunity without discrimination or harassment on the basis of race, color, creed, religion, national origin, alienage or citizenship status, age, sex, sexual orientation, gender identity or expression, marital or domestic/civil partnership status, disability, veteran status, genetic information, or any other basis protected by law.
Dynamic working gives everyone at Barclays the opportunity to integrate professional and personal lives, if you have a need for flexibility then please discuss this with the hiring manager.
Overall purpose of role
This role is responsible for securitized products analytics and models with a focus and a leading role in the development of prepayment and default models for collateral underlying US non-agency Mortgage Backed Securities (MBS).
Key Accountabilities
• Work as the lead modeller on the development collateral model for US non-agency MBS
• Work with other members of QA Securitized Products team on the development of collateral models for securitized products other than US non-agency MBS
• Develop and maintain analytics and models for securitized products in general
• Work closely with the model sponsors to meet their needs for analytics and modelling
• Work on model documentation for models under development and maintenance
• Support internal and external clients of Barclays Live for analytics and modelling issues involved in securitized products
Stakeholder Management and Leadership
The key stakeholders involved in this role are the following:
• Stakeholders on business side (traders in Fixed Income Finance and non-agency RMBS trading desk): This role is required to closely work with traders to build the model that addresses their needs
• Market risk managers, model risk management team, finance and product control: This role will provide helps to these stakeholders for information, features and results of the collateral models for non-agency RMBS and related products
• Technology team: This role is required to work with technology team for access data required by model development and for deployment of the model to production.
• Other teams within QA: This role needs to collaborate with other teams within QA because the collateral model is embedded in the securitized product analytics system is part of the system developed by various teams within QA.
• Internal and External clients: This role is required to support for internal and external clients to resolve issues in their use of the model.
Decision-making and Problem Solving
This role is responsible to make decisions on selection and structure for the collateral models under development. The role is required to provide criteria and/or guidance to quantify model performance regarding its accuracy and deficiencies and their impact on valuation and risks of the collection of collateral loans and/or of the securities supported by the collateral.
Risk and Control Objective
Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Barclays Policies and Policy Standards.
Person Specification
Basic Qualifications/Skills:
• Advanced degree (e.g., Masters, PhD or equivalent) in math, science, engineering, economics or a related field
• 10+ years experience in working with the trading desk
• 10+ years experience in analytics or modelling for securitized products
• 8+ years experience in developing prepayment and default models for US residential mortgages
• 5+ years experience in a modern programming language, such as C, C++, Java, C#, etc.
Preferred Qualifications/Skills:
• Excellent knowledge and skills in mathematics and statistics
• Strong communication skills
• Strong working experiences in statistical software such as SAS, R, S-Plus, etc.
• Familiar with relational database and SQL
• Familiar with Microsoft Visual Studio
• Familiar with Excel
Purpose and Values
Barclays has a single cross-business Purpose for Barclays and five core Values which underpin it.
Our Purpose is helping people achieve their ambitions in the right way. Put simply this is the answer to the question ‘What is Barclays for?’ and it should guide our every action as employees.
Respect
We respect and value those we work with, and the contribution that they make.
Integrity
We act fairly, ethically and openly in all we do.
Service
We put our clients and customers at the centre of what we do.
Excellence
We use our energy, skills and resources to deliver the best, sustainable results.
Stewardship
We are passionate about leaving things better than we found them.