- Entry level
- No Education
- Salary to negotiate
QA Counterparty Risk Quantitative Developer - 90223443
Primary Location:Czech Republic-CZ-Prague-Prague
Posting Range:5 Mar 2019 - Ongoing
QA Counterparty Risk Quantitative Developer
Prague, Czech Republic
Barclays Risk is mandated by the Barclays Board with the overall management and oversight of risk management practices group-wide. It operates across the organisation, and globe to protect Barclays’ financial performance and reputation. The role is located within the Investment Bank Risk division.
The role is in the global Quantitative Analytics function, working in the Counterparty Credit Risk (CCR) team.
We are an equal opportunity employer and we are opposed to discrimination on any grounds.
What will you be doing?
The hiring team is responsible for analytics for computing counterparty credit risk (CCR) for the bank’s derivatives portfolio. These are implemented in a shared quantitative library (Omega) which aims to reuse common high-performance pricers across all use cases, requiring a high degree of collaboration with quants and quant developers across QA teams representing a wide-range of areas of the bank. The candidate will be expected to take full responsibility of delivering counterparty credit risk models, including: requirements gathering, data sourcing, prototyping, production implementation, testing and documentation. He/she might be required also to work/liaise IT and Risk teams located mainly in London.
• Key Accountabilities
o Development of quantitative library functionality for counterparty risk, Monte Carlo and graph distribution frameworks.
o Participate in code authoring pipeline including detailed code reviews.
o Design of appropriate solutions within defined remit
• Stakeholder Management and Leadership
o Building relationships and trust with developers and quants across QA.
• Decision-making and Problem Solving
o The team is currently concentrated in London, meaning the successful candidate must be able to self-direct and solve problems autonomously.
• Risk and Control Objective
o 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.
What we’re looking for:
• Bachelor’s degree in a Computer Science, Mathematics, Physics or other scientific discipline from a top university.
• Extensive C++ experience including boost and C++14.
• Focus on high quality code delivery, including thorough unit tests and writing/acting upon detailed code reviews.
• Experience dealing with large-scale libraries and builds involving multiple interacting components.
• Excellent algorithmic design and reasoning skills.
• Excellent problem solving skills.
• Self-starter able to work independently, and actively seek input from co-workers when required.
• Proficient in both spoken and written English
Skills that will help you in the role:
• Experience coding in a quant library.
• Experience with multi-threading, multi-processing and/or grid distribution.
• Functional programming concepts.
• Monte Carlo simulation.
• Large-scale distributed graph computations.
• Python, including numpy and pandas.
• Experience targeting GPUs.
• Basic knowledge of financial mathematics.
• Basic knowledge of financial products including derivatives.
Where will you be working?
With 120 thousands of employees and over 326 years of tradition, we are one of the largest banking company in the world. Over the years, we have come up with many revolutionary ideas that changed the way people think about their finances; whether it was the first credit card issued in Great Britain or the first ATM machine, we have always been trying to push the banking business a little further. Our Prague office is part of the Operations and Technology Division, and as such, we try our best to stay at the top of our technological game. However, the technology itself is not the most important thing. What matters the most to us is the way our ingenuity can help provide better service to our customers and make life easier for our employees.
Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.
Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our
About the company
Barclays moves, lends, invests and protects money for 48 million customers and clients worldwide.
We have over 325 years of history and expertise in banking. From our beginnings in Lombard Street, London through to the launch of the world’s first ATM and innovative mobile phone payments services, find out more about our achievements to date.
Barclays is a trading name of Barclays Bank PLC and its subsidiaries. Barclays Bank PLC is registered in England and is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. Registered in England. Registered No. 1026167. Registered office: 1 Churchill Place, London E14 5HP.