Loan Trading - Quantitative Analyst

CORUS Consulting; Granada; Presencial; EUR 50.000 - 80.000; Jornada completa

Descripción de la vacante

A leading consulting firm is seeking an experienced financial analyst specializing in pricing and risk modeling for fixed income trading. The ideal candidate will possess advanced Python skills and a strong background in quantitative analysis. Responsibilities include developing market risk models and validating financial frameworks. If you are proficient in both Spanish and English and have a master's or Ph.D. in a relevant field, we invite you to apply.

Formación

• Advanced degree required in a quantitative discipline.
• 3-5 years of experience in market risk modeling.
• Proficient in Spanish and English.

Responsabilidades

• Develop and validate trading book market risk models.
• Design and validate Profit and Loss (PnL) attribution frameworks.
• Draft test plans and model documentation.

Conocimientos

Pricing and Risk Modeling

Model Theory

Python Programming

Market Risk Concepts

PnL Attribution Frameworks

Regulatory Standards

Educación

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

Herramientas

Numerix

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