Loan Trading - Quantitative Analyst

CORUS Consulting; Córdoba; Presencial; EUR 60.000 - 90.000; Jornada completa

Descripción de la vacante

A leading consulting firm in Spain is seeking a quantitative analyst to focus on pricing and risk modeling for fixed income trading products. The ideal candidate will possess strong knowledge in model theory and advanced programming skills in Python. Responsibilities include developing and validating trading book market risk models and ensuring compliance with regulatory standards. Required qualifications include advanced degrees in quantitative disciplines and fluency in both Spanish and English.

Formación

• Minimum 3-5 years of experience in developing and/or validating trading book market risk models.
• Required fluency in Spanish and English.
• Expertise in drafting test plans and model development documentation.

Responsabilidades

• Develop pricing and risk models for fixed income trading products.
• Validate models aligned with regulatory standards and perform sensitivity analysis.
• Draft detailed test plans, documentation, and implementation guides.

Conocimientos

Pricing and risk modeling

Python programming

Market risk concepts

Model validation practices

PnL attribution frameworks

Educación

Master’s or Ph.D. in Finance, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance

Herramientas

Numerix or comparable vendor-based modeling systems

Descripción del empleo

• Proven experience in pricing and risk modeling for fixed income trading products, with a focus on leveraged loans.
• Strong understanding of model theory, calibration techniques, and dynamics of one-factor interest rate models, including the Hull-White model.
• Advanced Python programming skills, with hands-on experience in testing financial models.
• Experience with Numerix or comparable vendor-based modeling systems.
• Proficient in designing and validating Profit and Loss (PnL) attribution frameworks.
• Deep knowledge of market risk concepts and regulatory standards, including Value at Risk (VaR) using historical simulation, model sensitivity analysis (Greeks), and model validation practices aligned with SR 11-7 guidelines.
• Demonstrated expertise in drafting detailed test plans, model development documentation, and implementation guides.
• Advanced degree (Master’s or Ph.D.) in a quantitative discipline such as Finance, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance, with a strong background in modeling.
• Minimum of 3-5 years of experience in developing and / or validating trading book market risk models within the financial services industry.
• Required Language : Spanish and English