Fo Quants Models Ir/crd - Madrid, España - BBVA
Descripción
Area:
CORPORATE & INVESTMENT BANKING
Company:
001
What are we looking for?
Academic background:
- Academic background in Math, Physics, Engineering Degrees or Economics (with a strong mathematical background)
- PhD preferred but not essential
- Master's Degree in Quantitative Finance will be highly valued.
- 35 years of previous experience in a similar position will be highly valued.
- Knowledge in mathematical finance
- Strong experience with Fixed Income Modelling (LGM, SABR, QGM) or in other assets (EQ, FX, XVA)
- Experience as a Quant in FO or other areas (Risk, Internal Validation, Analytics, etc)
- Knowledge in Programming languages (C++, Python,.Net)
- Teamwork
- Goaloriented
- Initiative and Innovation
- Customer service
- Influence and Communication
Overview
Develop mathematical valuation models for interest rate and credit derivatives to assess the risks of the Global Markets derivative products, providing the business with specific tools/ prototypes for their pricing and risk management activities.
- Collaborate with the Interest Rate and Credit Quantitative Analysis Manager in defining the working plan for the Interest Rate and Credit Quantitative Analysis team. Focus on establishing the planning and priorities, taking into account the Global Markets (GM) business needs and strategy
- Develop mathematical models for pricing and risk management of Interest Rate and Credit derivatives products traded in GM. Propose methodologies and numerical techniques to assess the different risks of the Interest Rate and Credit trading activity
- Analyse, together with the Interest Rate and Credit Quantitative Analysis Manager, new pricing/ valuation models requests received from GM Trading and Structuring desks. Focus on prioritizing the most important developments based on GM product strategy
- Discuss with GM trading/ structuring desks if the valuation model proposal meets GM business needs, before starting the prototype development
- Develop prototypes and valuation libraries according to "wellestablished" programming standards, keeping consistency with developments to be shared by different teams (Quantitative Developments, etc.)
- Test and calibrate the Interest Rate and Credit valuation models taking into account market risks and inputs. Validate internally the model, ensuring its solidity and sturdiness, and that the calculations and results are aligned to those managed by the GM desks
- Integrate new developments/ libraries into the testingframework. Focus on enhancing and speedingup the validation process on future releases
- Coordinate the final testing and approval of the model prototype with the GM desks, before going into the production phase
- Take part in different risk committees to manage the Interest Rate and Credit valuation models risk approval, assisting GM Trading and Structuring desks in the dialogue with Risk. Elaborate the required documentation explaining the model, metrics and calibration methodology used, and respond to doubts and queries. Provide technical support in model risk approval process.
- Carry out specialized training actions to GM and Risk units, explaining the model functioning and characteristics (methodology, calibration process, etc.). Elaborate presentations and supporting documentation, if needed
- Support GM desks and Risks in using and understanding the Interest Rate and Credit valuation models. Answer questions and doubts related to the model methodology and formulation, and provide support in solving problems and incidences
- Collaborate closely with Risks to align the risks assessment metrics and methodology. Focus on converging to common metrics to measure GM risks
Working at BBVA
BBVA is a global company with over 160 years of history present in 25 countries with over 81 million customers.
At BBVA, we are ahead of the transformation that is taking place in the banking sector, challenging the status quo, to make life easier to our customers.
Responsible banking
We're committed to responsible banking to help drive a more inclusive and sustainable society. The future of banking lies in financing the future.
We started out with the spirit of helping others make the best financial decisions.
That spirit remains with us today and encourages us to keep moving forward, prioritizing innovation and digital transformation so that we can put the opportunities of this new era within everyone's reach.
DiversityAt BBVA we believe having a diverse team makes us a better bank.
For this reason, we actively support diversity, inclusio
Más ofertas de trabajo de BBVA
-
Expert Data Scientist
Madrid, España - hace 1 semana
-
Data Scientist Analyst
Madrid, España - hace 5 días
-
Retail Credit Risk Discipline Manager Ii
Madrid, España - hace 3 días
-
Data Scientist Senior Manager I Validación Interna
Madrid, España - hace 1 semana
-
software associate solutions development i
Madrid, España - hace 1 semana
-
Procurement vendor Strategy Associate Business
Madrid, España - hace 5 días