Quantitative Developer

hace 7 días

Madrid, Madrid, España Bbva A tiempo completo
About the Role

We are seeking a highly skilled Quantitative Developer to join our team at Bbva, focusing on providing valuation solutions for Corporate & Investment Banking (CIB). As a key member of our team, you will be responsible for driving the coordination and development of technical frameworks for pricing and risk management of valuation adjustments due to Counterparty Credit Risk or Balance Sheet resources.

Key Responsibilities
  • 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.
  • 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 will be implemented.
  • Collaborate with Risks units during the approval process for XVA and Balance calculations, 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.
  • Analyze and validate vendors valuation tools to ensure that vendor systems meet GM needs.
  • Collaborate and provide support to the Trading Support unit about the functional system configuration with focus on valuation.
  • Interact with external vendors and 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.
About 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.

Our Values

We believe in responsible banking to help drive a more inclusive and sustainable society. We're committed to putting the opportunities of this new era within everyone's reach. 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, and we are one team. We cultivate a collaborative and inclusive work environment that allows every employee to do their best work. We actively support diversity, inclusion, and equal opportunities regardless of race, sex, age, religion, sexual orientation, gender identity, or expression.

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