FO QUANTS MODELS IR/CRD

Job title:

FO QUANTS MODELS IR/CRD

Company:

BBVA

Job description

Area:
CORPORATE & INVESTMENT BANKINGCompany:
001What are we looking for?STEM talent in the BBVA group: What we offer you?

• You will be part of a team of more than 22.000 Technology and Data experts, in 25 countries, whose aim is to take the bank further thanks to technology.
• You will participate in one of the close to 1,800 cutting-edge technology projects that we implement annually with a positive impact on 85 million people.
• You will work with a wide range of technologies, from the most experienced to the most disruptive: 46 different programming languages, 201 development platforms, etc.
• You will collaborate with our main tech partners – Microsoft, Google, AWS, Salesforce, IBM, RedHat, Telefonica, Cisco, Genesys, etc.
• You will carry out innovative projects in areas such as Development, Architecture, Security, Infrastructure and Data.

. * You will learn by working in your project, you will work with referents and you will have access to the entire BBVA training offer and to the Ninja project, a gamified training platform with a community of more than 11,000 participants with more than 2,000 talks, 1,300 workshops and 48 hackathons held.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.

Previous knowledge and experience

• 3-5 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)

Soft skills

• Teamwork
• Goal-oriented
• Initiative and Innovation
• Customer service
• Influence and Communication

The position could be located in Spain or LondonOverviewDevelop 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. Provide support to the business in a daily basis in the use of the pricing and trading tools produced by the team

• 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
• Work together with the Quantitative Development unit in order to take into account in the valuation model development the required aspects for its future implementation in the BBVA internal systems. Focus on facilitating the model plug in with GM applications
• 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 “well-established” 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 testing-framework. Focus on enhancing and speeding-up 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 BBVABBVA is a global company with over 160 years of history present in 25 countries with over 81 million customers. We are more than 110,000 professionals working in multidisciplinary and diverse teams.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.Being part of BBVA means developing your career in one of the most innovative companies in finance.Responsible bankingWe’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, inclusion and equal opportunities regardless race, sex, age, religion, sexual orientation, gender identity or expression. We cultivate a collaborative and inclusive work environment that allows every employee to do their best work.Our valuesOur values define our identity; they are what drives us to make our goals a reality and they guide all of our actions and the decisions we make.Customer comes firstWe think bigWe are one team

Expected salary

Location

Madrid

Job date

Sat, 16 Mar 2024 02:00:56 GMT

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