Senior Fixed Income Quantitative DeveloperPay CompetitiveLocation Madrid / Community Of MadridEmployment type Full-TimeJob DescriptionReq# :
JR00001127Area :
CORPORATE & INVESTMENT BANKINGCompany :
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 appreciatedBackground in mathematics and analytical thinkingKnowledge 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.OverviewCollaborate 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.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 BBVABBVA 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 bankingWe'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.DiversityAt 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 valuesOur values define our identity ;
they are what drives usto make our goals a reality and they guide all of our actions and the decisions we make.Customer comes firstWe think bigWe are one teamAbout the companyBBVA bank offers checking and savings accounts, credit cards, wealth management, and other financial services for individuals and businesses.NoticeTalentify is an Equal Opportunity Employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or protected veteran status.Talentify provides reasonable accommodations to qualified applicants with disabilities, including disabled veterans. Request assistance at or 407-000-0000.Federal law requires every new hire to complete Form I-9 and present proof of identity and U.S. work eligibility.An Automated Employment Decision Tool (AEDT) will score your job-related skills and responses. Bias-audit & data-use details :
. NYC applicants may request an alternative process or accommodation at or 407-000-0000.J-18808-Ljbffr
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