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Quantitative Developer

hace 2 meses

Madrid, Madrid, España Bbva A tiempo completo

Job Summary

We are seeking a highly skilled Quantitative Developer to join our team at Bbva, focusing on the development of valuation solutions for Corporate and Investment Banking. The successful candidate will work closely with our Quantitative Development XVA Manager to drive the coordination and development of technical frameworks for pricing and risk management of valuation adjustments.

Key Responsibilities

  • Drive the coordination and development of technical frameworks for pricing and risk management of valuation adjustments due to Counterparty Credit Risk or Balance Sheet resources.
  • Analyze together with the Quantitative Analysis Specialists the different valuation methodologies and possible implementation alternatives of XVA and Balance calculations.
  • Estimate the expected time for the valuation model implementation in GM systems/platforms.
  • Drive the technical valuation model development of XVA and Balance calculations and its integration in the GM platforms.
  • Analyze the best approach for the valuation model technical implementation in the systems.
  • Focus on developing usability improvements on an on-going basis to fulfill GM desks needs.
  • Optimize the models computation for XVA and Balance calculations time through improvements in the risk valuation methodology, software, and hardware.
  • Improve the valuation models robustness in the platforms where they will be implemented.
  • Facilitate the model plug-in, taking into consideration the connections between the different Bbva systems.
  • Collaborate with Risks units during the approval process for XVA and Balance calculations, in order to deploy the valuation libraries in systems.

Requirements

  • Master degree in quantitative finance or experience in capital markets software development.
  • Background in XVA (derivatives Valuation Adjustments).
  • Knowledge in mathematical finance and derivative products valuation.
  • Strong background in C++ programming language (object-oriented programming, STL, templates...).
  • Minimum of 4 years experience required.
  • 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, Git, XML, Web Services (SOAP, REST or similar).
  • Background in Python programming language. Minimum of 2 years experience required.
  • Background in mathematics and analytical thinking.
  • Fluent in English and Spanish.
  • Strong analytical thinking.
  • Good communication skills.
  • Team and collaborative work.
  • Data-driven decision making.
  • Able to multitask and rearrange priorities.