Loan Trading - Quantitative Analyst

buscojobs España; Palencia; Presencial; EUR 45.000 - 65.000; Jornada completa

Descripción de la vacante

A leading company in the financial services sector is seeking a specialist in pricing and risk modeling. The ideal candidate will possess advanced programming skills, deep market risk knowledge, and extensive experience with financial models. This role requires a strong quantitative background and expertise in developing risk management frameworks, ensuring compliance with regulatory standards. Proficiency in both Spanish and English is necessary for effective communication and documentation.

Formación

• Minimum 3-5 years in market risk models development/validation.
• Strong background in quantitative modeling.
• Required languages: Spanish and English.

Responsabilidades

• Design and validate Profit and Loss (PnL) attribution frameworks.
• Develop detailed test plans and documentation for models.
• Implement risk models including Hull-White model dynamics.

Conocimientos

Pricing and risk modeling

Advanced Python programming

Market risk concepts

Model validation practices

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