Loan Trading - Quantitative Analyst

CORUS Consulting; Tenerife; Presencial; EUR 40.000 - 70.000; Jornada completa

Descripción de la vacante

A leading company in financial services seeks a specialist in pricing and risk modeling for fixed income products. The ideal candidate will possess advanced Python programming skills and extensive knowledge of market risk concepts, particularly in developing and validating trading book models. This role demands a strong academic background with a Master’s or Ph.D. in a quantitative field and significant experience in the financial services industry.

Formación

• Minimum of 3-5 years of experience in developing and validating market risk models.
• Advanced knowledge of Value at Risk (VaR) using historical simulation.
• Experience drafting test plans and model development documentation.

Responsabilidades

• Design and validate Profit and Loss (PnL) attribution frameworks.
• Work on pricing and risk modeling for fixed-income trading products.
• Ensure compliance with regulatory standards related to market risk.

Conocimientos

Python programming

Model theory

Calibration techniques

Market risk concepts

PnL attribution frameworks

Model validation practices

Educación

Master’s or Ph.D. in quantitative discipline

Herramientas

Numerix or comparable 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