Senior Fixed Income Quantitative Developer

buscojobs España; Madrid; Presencial; EUR 60.000 - 90.000; Jornada completa

Descripción de la vacante

Una empresa financiera líder busca un Desarrollador Cuantitativo Fijo Senior para unirse a su equipo en Madrid. El candidato ideal tendrá una sólida experiencia en programación C++, habilidades analíticas y experiencia en el desarrollo de modelos matemáticos para la valoración de derivados. Esta es una oportunidad para colaborar en un entorno innovador y dinámico en el sector bancario, con un fuerte enfoque en el desarrollo y la integración de nuevas soluciones tecnológicas.

Formación

• Mínimo de 5 años de experiencia en C++
• Conocimientos técnicos en plataformas de desarrollo de software.
• Experiencia en matemáticas financieras y valoración de derivados.

Responsabilidades

• Colaborar con el equipo de análisis cuantitativo en el desarrollo de modelos matemáticos.
• Analizar metodologías de valoración y alternativas de implementación.
• Optimizar el modelo de valoración para los derivados de tasas de interés y crédito.

Conocimientos

C++

Pensamiento analítico

Desarrollo multiplataforma

Educación

MSc en Matemáticas, Física o Ingeniería

Máster en finanzas cuantitativas

Herramientas

Jenkins

Docker

Git

Descripción del empleo

Senior Fixed Income Quantitative Developer

Madrid

EUR 60.000 - 90.000

Senior Fixed Income Quantitative Developer

Pay Competitive

Location Madrid/Community Of Madrid

Employment type Full-Time

Job Description

Req#: JR00001127

Area:
CORPORATE & INVESTMENT BANKING

Company:
001

What are we looking for?

Experience and Knowledge:

• Strong background in C++ programming language (object-oriented programming, STL, templates...).
• Minimum of 5 years of experience required in C++
• Background in multiplatform development systems (Windows-Visual Studio, Linux), continuous integration and software lifecycle (Jenkins, unit testing, regression testing…).
• Technical knowledge in some of the following technologies: C++ Boost, CMake, Google Protocol Buffer and gRPC, Git, Docker, Web Services (SOAP or similar),
• Python programming language will be appreciated
• Background in mathematics and analytical thinking
• Knowledge and proven experience in at least two of these areas of expertise will be desirable:
  
  • Financial math and derivative products valuation with specialization in fixed income.
  • Knowledge and experience with the Murex platform and Murex Flex API.
  • Computational optimization using distributed computing, vectorization or other HPC techniques.
  • Experience in FO trading tools development for pricing and risk management (sensitivities, reports, automated pricing…)

Required qualifications:

• MSc in Math, Physics or Engineering.
• Master degree in quantitative finance will be valued.

Overview

Collaborate with the Quantitative Development Manager in defining the working plan for the Quantitative Development unit. Focus on establishing the planning and priorities, taking into account the Global Markets (GM) business needs and strategy.

Main tasks:

• Collaborate with the Quantitative Analysis team in developing mathematical models regarding Interest Rates and Credit derivatives for pricing and risk hedging the derivatives products managed by the Global Markets (GM) unit.
• Analyse together with the Quantitative Analysis Specialists the different valuation methodologies and possible implementation alternatives of Interest Rates and Credit derivatives. Estimate the expected time for the valuation model implementation in GM systems/ platforms.
• Drive the technical valuation model development of Interest Rates and Credit derivatives and its integration in the GM platforms.
• Analyse the best approach for the valuation model technical implementation in the systems. Focus on developing usability improvements on an on-going basis to fulfil GM desks need.
• Optimize the models computation for Interest Rates and Credit derivatives time through improvements in the risk valuation methodology, software and hardware.
• Improve the valuation models robustness in the platforms where will be implemented Facilitate the model plug in, take into consideration the connections between the different BBVA systems.
• Collaborate with Risks units during the approval process for Interest Rates and Credit derivatives, in order to deploy the valuation libraries in systems.
• Carry out specialized training actions to GM and Risk units, explaining how to use the GM systems/ platforms once the new valuation software is implemented. Elaborate presentations and supporting documentation, if needed.
• Collaborate with the Quantitative Analysis team in supporting GM and Risk units in using and understanding GM applications once the valuations models have been integrated. Answer questions and doubts related to the new features and functionalities, and provide support in solving technical problems and incidences.
• Liaise alongside with different units involved in the valuation model development and IT implementation (GM Desks, Risk, IT, etc.). Participate in the process for the model technical deployment.
• Analyse and validate vendors valuation tools to ensure that vendor systems meets GM needs.
• Collaborate and provide support to the Trading Support unit about the functional system configuration with focus on valuation. Interact with external vendors an IT to report malfunctions and coordinate solutions.
• Define the internal Quantitative & Business Solutions development and testing policies to ensure the developments meet the quality standards for maintenance, robustness and usability.
• Participate in different projects related to Global Markets unit together with other CIB and non-CIB units.

Working at BBVA

BBVA is a global company with over 160 years of history present in 25 countries with over 81 million customers. We are more than 110,000 professionals working in multidisciplinary and diverse teams.

At BBVA, we are ahead of the transformation that is taking place in the banking sector, challenging the status quo, to make life easier to our customers.

Being part of BBVA means developing your career in one of the most innovative companies in finance.

Responsible banking

We're committed to responsible banking to help drive a more inclusive and sustainable society. The future of banking lies in financing the future.

We started out with the spirit of helping others make the best financial decisions. That spirit remains with us today and encourages us to keep moving forward, prioritizing innovation and digital transformation so that we can put the opportunities of this new era within everyone's reach.

Diversity

At BBVA we believe having a diverse team makes us a better bank.

For this reason, we actively support diversity, inclusion and equal opportunities regardless race, sex, age, religion, sexual orientation, gender identity or expression. We cultivate a collaborative and inclusive work environment that allows every employee to do their best work.

Our values

Our values define our identity; they are what drives us to make our goals a reality and they guide all of our actions and the decisions we make.

Customer comes first

We think big

We are one team

About the company

BBVA bank offers checking and savings accounts, credit cards, wealth management, and other financial services for individuals and businesses.

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