C++ XVA Quantitative Analyst

hace 4 semanas

Madrid, Madrid, España bbva A tiempo completo

Area:
CORPORATE & INVESTMENT BANKING

Company:
001

What are we looking for?

STEM talent in the BBVA group: What we offer you?

  • Become part of a diverse team of Technology and Data specialists across 25 countries, dedicated to advancing the bank through innovative technology.
  • Engage in nearly 1,800 state-of-the-art technology initiatives that positively impact 85 million individuals annually.
  • Work with a broad spectrum of technologies, including 46 programming languages and 201 development platforms.
  • Collaborate with leading tech partners such as Microsoft, Google, AWS, Salesforce, IBM, RedHat, Telefonica, Cisco, and Genesys.
  • Contribute to pioneering projects in Development, Architecture, Security, Infrastructure, and Data.
  • Enhance your skills through hands-on project experience, mentorship, and access to BBVA's comprehensive training resources, including the Ninja project, a gamified training platform with over 11,000 participants.

Education:

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

Required skills:

  • Experience in XVA (Valuation Adjustments for derivatives).
  • Proficiency in mathematical finance and valuation of derivative products.
  • Strong command of C++ (object-oriented programming, STL, templates) with a minimum of 4 years of experience.
  • Familiarity with multiplatform development environments (Windows-Visual Studio, Linux), continuous integration, and software lifecycle management (Jenkins, unit testing, regression testing).
  • Technical expertise in technologies such as C++ Boost, CMake, Google Protocol Buffer, Git, XML, and Web Services (SOAP, REST, etc.).
  • Experience in Python programming (minimum of 2 years).
  • Strong mathematical background and analytical skills.
  • Fluency in English and Spanish.

Soft Skills:

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

Overview:

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

Collaborate with the Quantitative Development XVA Manager to define the operational plan for the unit, focusing on establishing priorities that align with Global Markets (GM) business requirements and strategies.

Key tasks:

  • Lead the coordination and development of technical frameworks for pricing and risk management related to Counterparty Credit Risk and Balance Sheet resources.
  • Work alongside Quantitative Analysis Specialists to evaluate various valuation methodologies and implementation alternatives for XVA and Balance calculations, estimating the time required for model implementation in GM systems.
  • Oversee the technical development of valuation models for XVA and Balance calculations and their integration into GM platforms.
  • Assess the optimal approach for technical implementation of valuation models, focusing on continuous usability improvements to meet GM desk requirements.
  • Enhance model computation efficiency for XVA and Balance calculations through improvements in risk valuation methodologies, software, and hardware.
  • Ensure robustness of valuation models within the platforms where they will be deployed, facilitating model integration while considering interconnections between BBVA systems.
  • Provide specialized training to GM and Risk units on utilizing GM systems/platforms post-implementation of new valuation software, including creating presentations and supporting documentation as necessary.
  • Support GM and Risk units in understanding and utilizing GM applications after the integration of valuation models, addressing queries and resolving technical issues.
  • Collaborate with various units involved in valuation model development and IT implementation (GM Desks, Risk, IT, etc.) during the technical deployment process.
  • Evaluate and validate vendor valuation tools to ensure they meet GM requirements.
  • Assist the Trading Support unit with functional system configuration focused on valuation, liaising with external vendors and IT to report issues and coordinate solutions.
  • Establish internal development and testing policies for Quantitative & Business Solutions to ensure quality standards for maintenance, robustness, and usability are met.
  • Participate in various projects related to the Global Markets unit in collaboration with other CIB and non-CIB units.

Working at BBVA:

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

At BBVA, we are at the forefront of the transformation occurring in the banking sector, 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.

Responsible Banking:

We are committed to responsible banking to foster a more inclusive and sustainable society. The future of banking lies in financing future opportunities.

Our commitment to helping others make informed financial decisions drives us to prioritize innovation and digital transformation, ensuring that the benefits of this new era are accessible to all.

Diversity:

At BBVA, we believe that a diverse team enhances our capabilities. We actively promote diversity, inclusion, and equal opportunities, regardless of race, gender, age, religion, sexual orientation, or identity.

We cultivate a collaborative and inclusive work environment that empowers every employee to excel.

Our Values:

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

Customer First

Think Big

One Team

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