C++ XVA Quantitative Analyst

hace 3 meses

Madrid, Madrid, España bbva A tiempo completo

Area:
CORPORATE & INVESTMENT BANKING

Company:
001

Position Overview:

The QBS Quantitative Development unit is dedicated to delivering valuation solutions for BBVA, specifically within the Corporate & Investment Banking (CIB) sector. This team is structured around various underlying assets, with specialized units such as XVA & Balance, collaborating closely with BBVA trading desks.

What We Seek:

We are looking for individuals with a strong STEM background who are eager to contribute to innovative projects. As part of our team, you will:

  • Engage in a diverse array of technology projects across 25 countries, impacting 85 million customers.
  • Work with an extensive range of technologies, including over 46 programming languages and 201 development platforms.
  • Collaborate with leading technology partners such as Microsoft, Google, and AWS.
  • Participate in groundbreaking initiatives in Development, Architecture, Security, Infrastructure, and Data.
  • Access comprehensive training opportunities, including the Ninja project, a gamified training platform with a vibrant community.

Educational Requirements:

  • Degree in Mathematics, Physics, Computer Science, or Engineering.
  • Master's degree in quantitative finance or relevant experience in capital markets software development.

Essential Skills:

  • Experience with XVA (Valuation Adjustments for derivatives).
  • Proficiency in mathematical finance and derivative product valuation.
  • Strong command of C++ (object-oriented programming, STL, templates) with a minimum of 4 years of experience.
  • Familiarity with multi-platform development (Windows-Visual Studio, Linux), continuous integration, and software lifecycle management.
  • Technical knowledge in technologies such as C++ Boost, CMake, Git, XML, and Web Services (SOAP, REST).
  • Experience in Python programming (minimum of 2 years).
  • Strong analytical and mathematical skills.
  • Fluency in English and Spanish.

Soft Skills:

  • Exceptional analytical thinking.
  • Effective communication abilities.
  • Team-oriented and collaborative mindset.
  • Data-driven decision-making skills.
  • Adept at multitasking and prioritizing tasks.

Key Responsibilities:

  • Lead the development of technical frameworks for pricing and risk management related to Counterparty Credit Risk and Balance Sheet resources.
  • Collaborate with Quantitative Analysis Specialists to evaluate various valuation methodologies and implementation strategies for XVA and Balance calculations.
  • Oversee the technical development of valuation models and their integration into GM platforms.
  • Optimize model computation for XVA and Balance calculations, enhancing risk valuation methodologies.
  • Facilitate training sessions for GM and Risk units on new valuation software.
  • Support GM and Risk units in utilizing GM applications post-integration of valuation models.
  • Engage with various units involved in valuation model development and IT implementation.
  • Assess vendor valuation tools to ensure alignment with GM requirements.
  • Provide assistance to the Trading Support unit regarding functional system configurations.
  • Establish internal development and testing policies to uphold quality standards.
  • Participate in projects related to the Global Markets unit alongside other CIB and non-CIB teams.

About BBVA:

BBVA is a global financial institution with a rich history spanning over 160 years, operating in 25 countries and serving over 81 million customers. Our workforce comprises more than 110,000 professionals working in diverse and multidisciplinary teams.

At BBVA, we are at the forefront of transformation in the banking sector, continuously challenging the status quo to enhance customer experiences. Being part of BBVA means advancing your career in one of the most innovative companies in finance.

Commitment to Responsible Banking:

We are dedicated to responsible banking, striving to foster a more inclusive and sustainable society. Our focus is on financing the future while prioritizing innovation and digital transformation.

Diversity and Inclusion:

We believe that a diverse team enhances our capabilities. BBVA actively promotes diversity, inclusion, and equal opportunities for all employees.

Our Values:

Our values define our identity and guide our actions and decisions.

  • Customer First
  • Think Big
  • One Team

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