Analyst – PC Valuations
Department Overview
Barclays moves, lends, invests and protects money for customers and clients worldwide. With over 300 years of history and expertise in banking, we operate in over 50 countries and employ over 140,000 people.
We provide large corporate, government and institutional clients with a full spectrum of solutions to their strategic advisory, financing and risk management needs. Our clients also benefit from access to the breadth of expertise across Barclays. We're one of the largest financial services providers in the world, and are also engaged in retail banking, credit cards, corporate banking, and wealth and investment management.
For further information about Barclays, please visit our website www.barclays.com.
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.
Main Function
The Finance department covers Product Control, Financial Control, Financial Decision Support and Tax.
Both Product and Financial Control are jointly responsible for the integrity of the financial records of Barclays Capital.
Product Control has a significant presence and role within the organization. There is a close working relationship with the trading desks and other areas focusing on control, service and reporting. We are a central point of contact for many issues that affect the bank including new product approval, model validation and independent verification of derivative valuations. By placing a heavy emphasis on information technology and focusing on project work we are able to address control and operational risks and meet our internal and external obligations.
Product Control works closely with the trading desk and other functional groups on a daily basis regarding PL, Risk, trade bookings and ad hoc queries. Product Control is also responsible for reporting the PL both centrally to senior management and the Front Office and offers advice on the control and accounting aspects of proposed new business.
Main Duties
To analyze and report on the various pricing components/valuation of all Fixed Income Rates products including interest rate options and inflation options. These tasks include the following:
- Analysis on a periodic basis of the mark to market to ensure that all aspects of the valuation (i.e. spreads, rates, volatilities, model parameters) are being accurately reflected in the risk systems.
- Work with Line Product Control, Risk Management and other functions of the business to establish pricing processes, thresholds, and reporting requirements.
- Timely resolutions of pricing/valuation and reserve differences.
- Develop proper control methodology and prepare documentation of all new processes and products within the group.
- Create reporting tools and analysis to better monitor/forecast exposure and financials.
- Review price testing results monthly with business and discuss key drivers and pricing issues.
· Formulate and apply mathematical modeling for independent monthly price testing for derivative products, including interest rate caps/floors, European swaptions, Bermudan swaptions, Constant Maturity Swaps (CMS), BMA-Libor trigger swaps and swaptions, BMA-Libor basis spread swaptions, and Range Accruals.
· Utilize Excel analytics, Visual Basic (VBA), Bloomberg, and MATLAB to automate price testing processes and retrieve data from external sources.
· Evaluate and define market data inputs, model calibration and non-market parameters, and specify computational methods, test pricing models and methodologies, such as Black model, quadratic Gaussian model, and Hull-White model to assess price variance and perform derivative valuation.
· Analyze price testing results, fair value and model reserves; define modeling uncertainties; and report on sustainability for specific products/markets.
· Investigate difference between external consensus (Markit Totem) pricing and internal prices and identify problems in Stochastic Alpha Beta Rho (SABR) volatility surface.
· Design, conduct, and evaluate statistical price testing methods and model reserves.
· Adapt to impact of model, infrastructure, and external changes on price testing process, and adjust price testing process based on changes in infrastructure market data and pricing methodology, model parameter and calibration, and Markit Totem structures setting.
· Collaborate with Product Control, Quantitative Analytics, and IT on risk validation, valuation and modeling issues.
· Prepare reports with price testing results for Front Office, Risk Management and Finance divisions.
Resonsible for ad hoc projects / investigations, and participate in Credit Support Annex (CSA) related testing and analysis.
Person Requirements
Basic Qualifications:
- 2+ years of experience within the financial services industry
- Master's degree in Quantitative Finance, Operations Research, Mathematics, or related
- 2+ years of experience with Excel and Access
Preferred Qualifications:
- 1+ years of experience formulating mathematical modelling in the Financial Services would be a plus.
- Preferably experience performing independent valuations or PnL for FI Rates (covering Options would be a plus)
- Broad-based knowledge of Financial Service-related operations
- Good understanding of Rates markets and products
- Ability to effectively communicate with colleagues and clients within the organization
- Strong team player
- Demonstrated experience in the following:
Ø Applying derivative product and market knowledge of interest rate caps/floors, European swaptions, and Bermudan swaptions to formulate and apply mathematical modeling for independent price testing for financial derivative products.
Ø Performing derivative valuation using Black model, quadratic Gaussian model, and Hull-White model.
- Utilizing Excel, Bloomberg, VBA, and MATLAB to automate price testing processes and retrieve data from external sources
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