CIO Strategy - Quantitative Analyst

­Overall purpose of role

This role sits in BX within the CIO Strategy team, reporting into the Head of CIO Strategy. As a Quantitative Analyst (D) within the CIO Strategy team you will play a pivotal role in designing and implementing advanced quantitative models that underpin our investment strategy. You will collaborate closely with senior stakeholders to provide actionable insights that guide portfolio decisions, resource allocation, and performance evaluation.

Key Accountabilities

The successful candidate will be accountable for the following key objectives:

Developing quantitative models in Python

Portfolio construction and optimisation models that are entity aware and consider expected returns, risk and resource constraints (e.g. balance sheet, RWAs, market risk limits, credit risk limits, LCR and funding costs)

Strategy and market timing models e.g. Regime analysis, seasonality, RV, momentum, duration signal

Maintaining and developing highly mapped trade level data to create useful MI e.g. exposure reporting, risk reporting, financial metrics (e.g. RoRWA, RoE), liquidity and capital utilisation

Risk and PV Analysis

Creating live risk and PV views

Creating tools to decompose PV/OCI

Performing risk, volatility and correlation analysis to create advanced risk metrics

Portfolio Sensitivity Analysis

Developing and performing risk management analysis (e.g. scenario modelling, monte-carlo simulation)

Developing tail hedging tools and proposing risk mitigating hedge packages (e.g. swaptions, invoice spreads)

Carry and OCI Forecasting

Developing models that forecast each component of carry (coupon, funding, swap and pull-to-par)

Developing OCI forecast models

Total return analysis and decomposition

Analysing forward CET1 impact from carry and OCI forecasts

Person Specification

A strong quantitative and analytical skillset is essential, demonstrated with an advanced degree in quantitative finance, mathematics, statistics, economics, engineering or a related field and relevant work experienceExpert in Python for data analysis, time-series analysis, optimisation techniques and automation. Understanding of data structures & algorithms, object-oriented programming and various libraries (e.g. NumPy, SciPy, Matplotlib, Seaborn, scikit-learn)Deep knowledge of quantitative finance, portfolio theory and risk managementDirect experience in Fixed Income, Rates with a strong interest in financial markets, economics and politicsTrade execution experience across fixed income is not essentialStrong stakeholder management skills and ability to work collaboratively across entity TFIs and senior management in a fast-paced environment

Essential Skills/Basic Qualifications:

Undergraduate or equivalent degree in a quantitative subject (e.g. Mathematics, Econometrics, Mathematical/Quantitative Finance, Economics, Physics, Engineering)Expert in PythonStrong quantitative skillsKnowledge of portfolio theoryStrong interest in macroeconomics and politics

Desirable Skills/Preferred Qualifications:

Understanding of Barclays risk systemsTechnical knowledge across fixed income products and derivatives

Stakeholder Management and Leadership

Builds and grows internal networks to better understand Investment teams requirements and each entities unique financial position regarding capital, liquidity and fundingBuilds and grows external networks to better understand market and economic developments to provide better allocation decisions, discover new investment opportunities and provide more insightful output for the CIOOpenly shares knowledge and expertise to help deliver tangible progress at the individual and team development levelParticipates actively in the firms Citizenship programme, taking into account the needs of all our stakeholders and making decisions which, in the short and long-term, are positive for our customers and clients, shareholders, colleagues and the communities in which we operate.

Decision-making and Problem Solving

Contributes to projects and change management to improve desk processes, regulatory remediation, or product portfolio development and expansion. Provides guidance and direction to other colleagues as part of this processUnderstands where the desk fits at firm level and leverages this understanding to suggest improvements to on-desk processes and improve governance and control structures

Purpose of the role

To design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making

Accountabilities

Design analytics and modelling solutions to complex business problems using domain expertise.Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools.Development of high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation teams.Implementation of analytics and models in accurate, stable, well-tested software and work with technology to operationalise them.Provision of ongoing support for the continued effectiveness of analytics and modelling solutions to users.Demonstrate conformance to all Barclays Enterprise Risk Management Policies, particularly Model Risk Policy.Ensure all development activities are undertaken within the defined control environment.

Director Expectations

To manage a business function, providing significant input to function wide strategic initiatives. Contribute to and influence policy and procedures for the function and plan, manage and consult on multiple complex and critical strategic projects, which may be business wide..They manage the direction of a large team or sub-function, leading other people managers and embedding a performance culture aligned to the values of the business. Or for an individual contributor, they lead organisation wide projects and act as deep technical expert and thought leader, identifying new ways of working and collaborating cross functionally. They will train, guide and coach less experienced specialists and provide information affecting long term profits, organisational risks and strategic decisions..Provide expert advice to senior functional management and committees to influence decisions made outside of own function, offering significant input to function wide strategic initiatives.Manage, coordinate and enable resourcing, budgeting and policy creation for a significant sub-function.Escalates breaches of policies / procedure appropriately.Foster and guide compliance, ensure regulations are observed that relevant processes in place to facilitate adherence.Focus on the external environment, regulators, or advocacy groups to both monitor and influence on behalf of Barclays, when appropriate.Demonstrate extensive knowledge of how the function integrates with the business division / Group to achieve the overall business objectives.Maintain broad and comprehensive knowledge of industry theories and practices within own discipline alongside up-to-date relevant sector / functional knowledge, and insight into external market developments / initiatives.Use interpretative thinking and advanced analytical skills to solve problems and design solutions in often complex/ sensitive situations.Exercise management authority to make significant decisions and certain strategic decisions or recommendations within own area.Negotiate with and influence stakeholders at a senior level both internally and externally.Act as principal contact point for key clients and counterparts in other functions/ businesses divisions.Mandated as a spokesperson for the function and business division.

All Senior Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.

All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge and Drive – the operating manual for how we behave.