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MUST BE AUTHORIZED TO WORK IN THE USA.
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This role will primarily focus on the development of Municipal market derivatives pricing and risk management functionality in New York.
VBA/Excel based suite of spreadsheets. The Municipal and Fixed Income desk price derivatives like interest rate swaps, basis swaps,BMA and other index derivatives, swaptions,caps and floors. Municipal desk focuses on the Municipal debt market instruments.
- Working alongside trading, structuring and sales desks to build pricing sheets and components leveraging off the bank’s Quantitative Analytic libraries.
- Build out new pricers as to support end of day P&L and Risk generation for new Municipal products.
- Helping develop the strategy for the pricing needs of the business going forward, including integration with other systems and moving away from VBA into other languages like C#.
One of the real positives of the role is that candidates work on a wide range of derivative products and work closely with traders and the quants. As a result staff often move to roles with sales and trading after a number of years with the team.
The candidate also must have the proven ability to pick up new skills quickly, whether a new asset class or programming language.
We are willing to look at candidates with at least 3 years experience which is in the "right" area and very relevant to this role.
Candidates must be strong in three areas, technical programming ability with VBA and Excel; business skills in an applicable asset class; and analytical ability.
However we’re not looking for quants with programming skills, but more for analytical developers who can deliver working risk & pricing solutions to the desk which utilise the analytics libraries built by the quants.
Candidates do not need to fully grasp the maths in the pricing models, and to be able reproduce equations, but instead have understanding of fundamentals behind pricing products and how the models behave under various market conditions.
• Liaising with trading, sales and structuring users to get pricing requirements and translating these into IT solutions that meet the exact needs of the business.
• Migration of legacy Municipal pricing sheets to use Barclays market data and analytics where applicable.
• Build out the existing in-house cross asset platform to support the pricing of Municipal derivatives.
• Development of Municipal derivatives pricing spreadsheets, using the Quantitative Analytics library and platform as needed.
• Development of spreadsheets to load and publish market data for all asset classes with in the Municipal business.
• Working with Quantitative Analysts to ensure new models are delivered to the business in the most efficient way possible.
Qualification / Education Requirements:
Strong numerical skills to degree level.
Experience in a front office facing environment dealing with traders and quantitative analysts on a daily basis.
Knowledge of derivatives and the fundamentals behind pricing and risking derivatives. We are prepared to look at candidates with 3+ years experience with building derivatives risk & pricing systems or tools across any one of the following asset classes : Municipal Derivatives(ideally), Fixed Income, Emerging Markets, Equities & FX or Commodities. We are looking for developers who have gained knowledge of the business through building technology solutions for derivatives traders and sales people.
Experience developing software and supporting software for a Rates/ Municipal derivatives desk.
Experience with building systems to support the pricing of Municipal derivative trades spot, forward starting swaps and building volatility surfaces, building index swaps and other basis products.
Commercial experience of VB/VBA and use of Excel, preferably in a front office environment. Experience with C# would be nice to have.
Design of complex modular software products.
Excellent communications - to work with traders and sales people
Pricing theory for pricing derivatives
Keen, hardworking candidates able to deliver to tight timescales with a proven track record of delivery a in front office environment.