Senior Quant Senior Quant …

BBVA
in London, United Kingdom
Permanent, Full time
Last application, 30 Apr 21
valorable
BBVA
in London, United Kingdom
Permanent, Full time
Last application, 30 Apr 21
valorable
We are in the process of recruiting FO senior quantitative analysts for both Fixed Income and Equity divisions. The positions will be based in London as part of the Global quantitative teams

About the job

We are in the process of recruiting FO senior quantitative analysts for both Fixed Income and Equity divisions. The positions will be based in London as part of the Global quantitative teams.

Main Tasks

  •  Develop mathematical valuation models to assess the risks of the Global Markets derivatives for Fixed Income products, providing the business with specific solutions for their pricing and risk management activities.
  • Participate as quantitative specialist in all the new business initiatives
  • Integrate into a high-performance team organized by projects following an agile approach
  • Support all the GM activities (Trading, Structuring and Sales) in a daily basis.
  • Lead and coordinate approval processes with Risks units.

About you

EDUCATION:

  • MSc in Mathematics, Physics or Engineering
  • PhD preferable but not essential

LANGUAGES:

  • English C1
  • Spanish is a plus

REQUIRED SKILLS:

- Strong background in mathematics, stochastic calculus and numerical methods.

- Ability to work in a very competitive and challenging environment.

  • Equity modelling:
    • Broad experience in Equity derivatives with focus on Volatility, Dividend and Correlation modelling.
    • Vast experience developing solutions for industrialization/automation of market data calibration and pricing of structured products like autocalls, volatility derivatives, etc.
  • Fixed Income modelling:
    • Broad experience with interest rate models: BGM, Vanilla Smile Models and short rate models.
    • Deep Experience on pricing interest rate callable instruments (including in/out of model adjustments) as well as on other payoffs (CMS, Spread Options, etc).
    • Experience with Inflation Instruments (YoY and ZC inflation cap/floor) and smile models.

PROGRAMMING SKILLS:

  • OOP: strong skills of patterns developments in C++, VB/C# and .NET environment.
  • Data analysis and visualization skills (Python)

Soft skills

  • Team work
  • Goal-oriented
  • Initiative and Innovation
  • Customer service
  • Influence and Communication

Soft skills

  •  Teamwork
  • Goal-oriented
  • Initiative and Innovation
  • Customer service
  • Influence and Communication

 

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