Structured Credit Quant Details

Structured Credit Quant

Barclays - New York, NY

Employment Type : Full-Time

Structured Credit Quant, VP
New York

As a Barclays Structured Credit Quant, you will be involved with quantitative model development, implementation, analysis and support for structured credit products. You will also provide expect quantitative analysis and works with the technology teams to develop and improve the trading and risk management platforms.
Barclays is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We've helped millions of individuals and businesses thrive, creating financial and digital solutions that the world now takes for granted. An important and growing presence in the USA, we offer careers providing endless opportunity.

What will you be doing?

• Working closely with structured credit traders to price trades & help risk manage the trading books. You will be able to evaluate the full economics of the trades including funding and capital costs
• Developing new models & support existing models for structured credit products. The models should be state of the art, practical, understood by users, and thoroughly tested and documented
• Delivering models in collaboration with quantitative developers and technologists. The ideal candidate will have had experience with stochastic interest rates and credit models
• You will scope and complete modelling projects—including where requirements are not yet fully understood or articulated clearly with a high degree of autonomy

What we’re looking for:
• PhD in Quantitative Finance, Applied Mathematics, Operations Research, Statistics, or similar quantitative field

• Experience in a credit or rates quant role at a major investment bank

Skills that will help you in the role:
• In depth understanding and experience developing models for pricing and risk management of complex structured products

• Excellent understanding of the theory and mathematical foundations of derivatives pricing including continuous time stochastic processes and stochastic calculus
• Good written and verbal communication
• Experience implementing models in C++ in a shared codebase with multiple developers

Where will you be working?
You will be working at our Americas Headquarters at 745 Seventh Avenue. This 37-story office tower is located in Times Square in the heart of Manhattan and features a cafeteria, fitness center and state-of-the-art LED signage on the facade of the building.

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