Loan Trading - Quantitative Profile
Location Remote - Madrid (GMT+1)
Skill and task to be completed
* Proven experience in pricing and risk modeling for fixed income trading products, with a focus on leveraged loans.
* Strong understanding of model theory, calibration techniques, and dynamics of one-factor interest rate models, including the Hull-White model.
* Advanced Python programming skills, with hands-on experience in testing financial models.
* Experience with Numerix or comparable vendor-based modeling systems.
* Proficient in designing and validating Profit and Loss (PnL) attribution frameworks.
* Deep knowledge of market risk concepts and regulatory standards, including Value at Risk (VaR) using historical simulation, model sensitivity analysis (Greeks), and model validation practices aligned with SR 11-7 guidelines.
* Demonstrated expertise in drafting detailed test plans, model development documentation, and implementation guides.
* Advanced degree (Master’s or Ph.D.) in a quantitative discipline such as Finance, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance, with a strong background in modeling.
* Minimum of 3-5 years of experience in developing and/or validating trading book market risk models within the financial services industry.
* Required Language: Spanish and English