Rates Quantitative Analyst - VP

About the role

Barclays Markets is hiring a Rates Quantitative Analyst - VP in New York. The role designs, implements and supports advanced stochastic interest-rate models used for pricing and risk management of vanilla and exotic rate derivatives, working closely with trading, structuring and sales teams to deliver quantitative insights that support revenue generation and trading strategies.

Key responsibilities

• Develop and implement quantitative models and strategies to derive insight into market trends and optimise trading decisions, pricing and risk management across financial products and markets.
• Work with sales teams to identify client needs and develop customised solutions.
• Carry out in-depth research, data analysis and statistical modelling to understand market trends, pricing and risk dynamics.
• Maintain analytical libraries and provide front-office infrastructure support.
• Share expertise on quantitative methodologies, technological advances and industry best practices.
• Set strategy, plan resources and budgets, manage policies and processes, and advise stakeholders and senior management.
• Manage and mitigate risks in line with control and governance, and lead or guide specialists and team members.

Required profile

• Stochastic interest-rate modeling for options, exotics and structured rates products.
• Curve construction, volatility surface calibration (e.g. SABR/ZABR) and multi-factor short-rate models.
• C++ and Python programming for quantitative finance applications.
• Numerical methods, nonlinear analytics and production-grade library development.
• Quantitative risk management and pricing in front-office environments.
• Leadership expectations: strategy setting, resource planning, policy management, stakeholder advice and risk oversight.

Required skills

• Stochastic interest-rate modeling and curve construction
• SABR/ZABR volatility surface calibration
• C++ and Python
• Quantitative risk management and pricing
• Plus: exposure to municipal derivatives, US rates markets (swaps, swaptions, caps/floors, CMS), and knowledge of BMA/SIFMA indices and Total Return Swaps