Performance & Investment Risk Specialist

About Investment Analytics
Investment Analytics (IA) is a centre of excellence within PB with a deep quantitative knowledge and expertise across every aspect of the PB business including investment philosophy, suitability, SAA modelling, performance analysis and reporting, risk modelling, portfolio construction, derivatives, exotics and structured products. The team consists of highly experienced and skilled ‘quants’ who support and enable the wider PB business while exercising monitoring and control where required.

IA Team in Private Bank is responsible for Investment Risk Management and Performance for DPM and monitors and challenges the portfolio managers on their risk and investment decisions, and their performance, while supporting on client pitches and bespoke client reporting.

IA is responsible for the models used across PB to support the business including the models used to calculate investment risk in Advisory client accounts as well as investment risk for each stage of the investment process in DPM including for our Strategic Asset Allocation (SAA), our Tactical Asset Allocation (TAA), investible ‘model portfolios’, and invested client accounts in DPM; and for models used for margining complex derivative trades in our Capital Markets business. In addition, IA is responsible for Model Governance across all business units in PB.

Overall purpose of role

The role holder will combine both Performance Measurement and Investment Risk Management expertise to support the Private Bank (PB) Strategic Asset Allocation (SAA) implementation and rollout across PB propositions and client, as well as providing performance and investment risk analysis on client portfolios to internal and external stakeholders.

The role holder will provide Performance and Investment Risk expertise, develop and build on existing capabilities of the function to provide an industry standard risk management and performance platform supporting the PB SAA/TAA. The successful candidate will be responsible for the effective delivery of day-to-day performance and investment risk management tasks as well as assisting with the fiduciary oversight of PB. The role holder’s duties will take into account regulatory, mandate and fiduciary risk for UCITS funds, Qualified Investor funds, internal models and client portfolios using a broad range of investment methodologies with a cross asset universe of cash and OTC derivative assets.

Key Accountabilities

• Support moving the SAA ‘in-house’ to PB by making sure systems are updated and maintained to facilitate this delivery at rollout and on an ongoing basis
• Support the roll out of the PB SAA across stakeholders and propositions in PB
• Update and maintain Avaloq and related systems with current SAA and Tactical Asset Allocation (TAA) to make sure the systems are accurately reflecting clients risk and performance
• Support queries on PB SAA and TAA from clients, portfolio managers, advisors, bankers
• Make sure PB SAA and TAA are in line with Investment Philosophy and Suitability parameters
• Support and enhance performance and investment risk analytics capabilities and reporting
• Interact with portfolio managers, bankers, investment advisors, technology, distribution channels, third party vendors in addition to other business units within the bank, and sometimes direct interaction with clients
• Provide regular detailed performance analysis on PB multi-asset class reference portfolios through comparison to the TAA and SAA models and attribute relative performance appropriately; including but not limited to allocation, selection, market timing and currency effects
• Support the Performance and Investment Risk Manager and participate in strategic initiatives designed to provide robust, sustainable solutions through effective use of technology as well as identify and affect tactical changes to existing processes
• Use market and financial knowledge to understand and clearly articulate the impact of investment decisions on portfolios and products and on providing monthly performance and attribution commentary
• Provide technical expertise in respect of investment risk to ensure all necessary analytics are produced including, Value at Risk calculations, Stress Testing, Leverage and exposure calculations
• Provide oversight on the supervisory documents on the Risk and Performance platform, including the Risk Management Process (RMP), the Key Investor Information Documentation (KIID), the Risk Profiling Document, and the policies and procedures by which the function operates
• Provide a supervisory role with regard to credit and counterparty monitoring, ensuring UCITS rules are adhered to as well as identifying weak or failing credits to mitigate loss where necessary
• Actively develop and enhance the Investment Risk infrastructure to ensure market practices, standards and competencies are followed and a best of breed investment risk framework is followed
• Lead on innovation and development of changes to the investment risk agenda and framework, including process, systems and reporting, resulting in recommendations to the Investments ManFo
• Establishing risk policies, standards and procedures within the group’s overarching risk management framework, and ensure that these are observed, monitored and evidenced
• Embed a strong risk-management culture
• Being able to support various locations
  

Stakeholder Management and Leadership

The candidate is expected to provide thought leadership in the area of performance measurement and investment risk and influence senior stakeholders to ensure the best outcome for Clients. The candidate will support and regularly interact with:

• Discretionary Portfolio Managers
• Bankers and Investment Advisors
• The Market Strategy Team
• Stakeholders in the New Product Approval (NAPA) process
• Independent Validation Unit (IVU) in Group Risk
• Technology
• Operations
• External market data providers
• BISL Investment Analytics Team

Decision-making and Problem Solving

The candidate will be able to:

• Apply judgement and experience to evaluate whether performance and risk model methodologies are appropriate for its intended purpose
• Apply problem solving skills to estimate the performance and risk on asset classes and individual instruments and portfolios on an ad-hoc basis
• Lead on finding solutions for developing and enhancing systems and processes for performance measurement and investment risk

Risk and Control Objective

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.

Person Specification

The ideal candidate has:

• Proven technical knowledge and modelling ability, proven numerical and analytical skills, and strong attention to detail and accuracy
• Strong communication skills, both written and verbal, and ability to translate technical subjects to non-technical audience
• Ability to question and challenge traditional assumptions and beliefs, and ability to deal with and incorporate ambiguity
• Ability to identify issues and develop a plan of action to resolve or mitigate those issue
• Ability to work independently under minimal supervision as well as being team player
• Proactive “can do attitude” and takes ownership of delivery of work
• Ability to stay calm under pressure and to manage and influence stakeholders across all levels of organisation effectively
• Excellent communication and negotiation skills including the ability to deal with complex issues in a sensitive and appropriate manner
• Strong risk management principles and ethics
• Ability for flexible approach to work to meet demands of the business and able to prioritise effectively given competing deliverables
• Ability able to work with different locations remotely
• Flexibility to travel for work

Essential Skills/Basic Qualifications:

• Relevant experience in quantitative modelling, risk modelling or performance measurement including leverage, volatility, Value at Risk (VaR), stress testing, liquidity monitoring, regulatory frameworks
• Possesses a high degree of IT skills including MS Excel, MS Access and Excel VBA and is able to write and decode Excel and Access macros
• Proven knowledge of financial instruments across asset classes and complexity; OTC derivatives across equity, Fixed Income and Commodities, cash settled products as well as exchange traded derivatives
• Educated to a minimum of graduate level

Desirable skills/Preferred Qualifications:

• Knowledge of more complex performance and risk management and modelling techniques including: Second order risks (gamma/vega), OTC derivative valuation, Monte Carlo simulations, factor models
• Working knowledge of industry leading risk and performance systems including Avaloq, Bloomberg PORT+
• Post graduate qualifications or industry quantitative modelling qualifications a plus
• Experience of working closely with investors and research groups and an ability to forge strong working relationships