QBS | C++ XVA Quant Developer
BBVA
- Madrid
- Permanente
- Tiempo completo
CORPORATE & INVESTMENT BANKINGCompany:
001What are we looking for?STEM talent in the BBVA group: What we offer you?
- You will be part of a team of more than 22.000 Technology and Data experts, in 25 countries, whose aim is to take the bank further thanks to technology.
- You will participate in one of the close to 1,800 cutting-edge technology projects that we implement annually with a positive impact on 85 million people.
- You will work with a wide range of technologies, from the most experienced to the most disruptive: 46 different programming languages, 201 development platforms, etc.
- You will collaborate with our main tech partners - Microsoft, Google, AWS, Salesforce, IBM, RedHat, Telefonica, Cisco, Genesys, etc.
- You will carry out innovative projects in areas such as Development, Architecture, Security, Infrastructure and Data.
- Academic background in Math, Physics, Computer Science or Engineering.
- Master degree in quantitative finance or experience in capital markets software development.
- Background in XVA (derivatives Valuation Adjustments).
- Knowledge in mathematical finance and derivative products valuation.
- Strong background in C++ programming language (object-oriented programming, STL,templates...). Minimum of 4 years experience required.
- 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, Git, XML, Web Services (SOAP, REST or similars),
- Background in Python programming language. Minimum of 2 years experience required.
- Background in mathematics and analytical thinking.
- Fluent in English and Spanish.
- Strong analytical thinking.
- Good communication skills.
- Team and collaborative work.
- Data-driven decision making.
- Able to multitask and rearrange priorities.
- Drive the coordination and development of technical frameworks for pricing and risk management of valuation adjustments due to Counterparty Credit Risk or Balance Sheet resources.
- Analyze together with the Quantitative Analysis Specialists the different valuation methodologies and possible implementation alternatives of XVA and Balance calculations. Estimate the expected time for the valuation model implementation in GM systems/ platforms.
- 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. Focus on developing usability improvements on an on-going basis to fulfill GM desks needs 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 Facilitate the model plug in, take into consideration the connections between the different BBVA systems 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 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.