Loan Trading - Quantitative Analyst

buscojobs España; Madrid; Presencial; EUR 50.000 - 80.000; Jornada completa

Descripción de la vacante

A leading financial services company seeks a qualified candidate for pricing and risk modeling of fixed income trading products. The role requires expertise in model theory and calibration, as well as advanced Python skills, with requirements including a relevant master's degree and significant experience in the financial industry.

Formación

• Minimum of 3-5 years experience in developing/validating market risk models.
• Required languages: Spanish and English.

Conocimientos

Pricing and risk modeling

Model theory and calibration

Python programming

Market risk concepts

PnL attribution frameworks

Value at Risk (VaR)

Model validation practices

Test plans documentation

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