FO QUANTS MODELS FIXED INCOME SENIOR ASSOCIATE

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BBVA is a global company with more than 160 years of history that operates in more than 25 countries where we serve more than 80 million customers. We are more than 121,000 professionals working in multidisciplinary teams with profiles as diverse as financiers, legal experts, data scientists, developers, engineers and designers.

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Quantitative & Business Solutions (QBS) is the area where quantitative rigor meets direct business impact within Global Markets . The team is composed of quantitative analysts and quant developers who work on the development of pricing and risk management solutions , with a high level of interaction with Trading, Structuring and Risk teams.

QBS leads the methodological definition, development and calibration of models , as well as their integration into the bank’s internal systems , followed by validation and governance processes. The area acts as a natural bridge between quantitative innovation and practical application in a real, dynamic and demanding market environment.

About the job:

About the role:

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.

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.

What are we looking for?

Academic background:

MSc 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:

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.

Skills:

Customer Targeting, Empathy, Ethics, Innovation, Proactive Thinking