Loan Trading - Quantitative Analyst

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

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