.Area:CORPORATE & INVESTMENT BANKINGCompany:001What are we looking for?Academic background:Academic background in Math, Physics, Engineering Degrees or Economics (with a strong mathematical background) PhD preferred but not essentialMaster's Degree in Quantitative Finance will be highly valued.Previous knowledge and experience3-5 years of previous experience in a similar position will be highly valued.Knowledge in mathematical financeStrong experience with Fixed Income Modelling (LGM, SABR, QGM) or in other assets (EQ, FX, XVA)Experience as a Quant in FO or other areas (Risk, Internal Validation, Analytics, etc)Knowledge in Programming languages (C++, Python, .Net)Soft skillsTeamworkGoal-orientedInitiative and InnovationCustomer serviceInfluence and CommunicationThe position could be located in Spain or LondonOverviewDevelop mathematical valuation models for interest rate and credit derivatives to assess the risks of the Global Markets derivative products, providing the business with specific tools/ prototypes for their pricing and risk management activities. Provide support to the business in a daily basis in the use of the pricing and trading tools produced by the teamCollaborate with the Interest Rate and Credit Quantitative Analysis Manager in defining the working plan for the Interest Rate and Credit Quantitative Analysis team. Focus on establishing the planning and priorities, taking into account the Global Markets (GM) business needs and strategyDevelop mathematical models for pricing and risk management of Interest Rate and Credit derivatives products traded in GM. Propose methodologies and numerical techniques to assess the different risks of the Interest Rate and Credit trading activity Analyse, together with the Interest Rate and Credit Quantitative Analysis Manager, new pricing/ valuation models requests received from GM Trading and Structuring desks. Focus on prioritizing the most important developments based on GM product strategy Work together with the Quantitative Development unit in order to take into account in the valuation model development the required aspects for its future implementation in the BBVA internal systems. Focus on facilitating the model plug in with GM applications Discuss with GM trading/ structuring desks if the valuation model proposal meets GM business needs, before starting the prototype developmentDevelop prototypes and valuation libraries according to "well-established" programming standards, keeping consistency with developments to be shared by different teams (Quantitative Developments, etc.)Test and calibrate the Interest Rate and Credit valuation models taking into account market risks and inputs. Validate internally the model, ensuring its solidity and sturdiness, and that the calculations and results are aligned to those managed by the GM desks Integrate new developments/ libraries into the testing-framework
