QBS | C++ XVA Quant Developer

Job title:

QBS | C++ XVA Quant Developer

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.Education:

• Academic background in Math, Physics, Computer Science or Engineering.
• Master degree in quantitative finance or experience in capital markets software development.

Required skills:

• Background in XVA (derivatives Valuation Adjustments).
• Knowledge in mathematical finance and derivative products valuation.
• Strong background in C++ programming language (object-oriented programming, STL,templates…). Minimum of 4 years experience required.
• Background in multiplatform development systems (Windows-Visual Studio, Linux), continuous integration and software lifecycle (Jenkins, unit testing,regression testing…).
• Technical knowledge in some of the following technologies: C++ Boost, CMake, Google Protocol Buffer, Git, XML, Web Services (SOAP, REST or similars),
• Background in Python programming language. Minimum of 2 years experience required.
• Background in mathematics and analytical thinking.
• Fluent in English and Spanish.

Soft Skills:

• Strong analytical thinking.
• Good communication skills.
• Team and collaborative work.
• Data-driven decision making.
• Able to multitask and rearrange priorities.

OverviewQBS Quantitative development unit focuses on providing valuation solutions for BBVA as part of Corporate & Investment Banking (CIB). The team is organized by underlyings with specialized units as XVA&Balance working and collaborating closely to BBVA trading Desks.Collaborate with the Quantitative Development XVA Manager in defining the working plan for the Quantitative Development unit. Focus on establishing the planning and priorities, taking into account the Global Markets (GM) business needs and strategy.Key tasks:

• Drive the coordination and development of technical frameworks for pricing and risk management of valuation adjustments due to Counterparty Credit Risk or Balance Sheet resources.
• Analyze together with the Quantitative Analysis Specialists the different valuation methodologies and possible implementation alternatives of XVA and Balance calculations. Estimate the expected time for the valuation model implementation in GM systems/ platforms.
• Drive the technical valuation model development of XVA and Balance calculations and its integration in the GM platforms.
• Analyze the best approach for the valuation model technical implementation in the systems. Focus on developing usability improvements on an on-going basis to fulfill GM desks needs Optimize the models computation for XVA and
• Balance calculations time through improvements in the risk valuation methodology, software and hardware Improve the valuation models robustness in the platforms where will be implemented Facilitate the model plug in, take into consideration the connections between the different BBVA systems Collaborate with Risks units during the approval process for XVA and Balance calculations, in order to deploy the valuation libraries in systems.
• Carry out specialized training actions to GM and Risk units, explaining how to use the GM systems/ platforms once the new valuation software is implemented. Elaborate presentations and supporting documentation, if needed.
• Collaborate with the Quantitative Analysis team in supporting GM and Risk units in using and understanding GM applications once the valuations models have been integrated. Answer questions and doubts related to the new features and functionalities, and provide support in solving technical problems and incidences.
• Liaise alongside with different units involved in the valuation model development and IT implementation (GM Desks, Risk, IT, etc.). Participate in the process for the model technical deployment.
• Analyze and validate vendors valuation tools to ensure that vendor systems meet GM needs.
• Collaborate and provide support to the Trading Support unit about the functional system configuration with focus on valuation. Interact with external vendors an IT to report malfunctions and coordinate solutions.
• Define the internal Quantitative & Business Solutions development and testing policies to ensure the developments meet the quality standards for maintenance, robustness and usability.
• Participate in different projects related to Global Markets unit together with other CIB and non-CIB units.

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

Thu, 21 Mar 2024 05:43:34 GMT

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