FO Fixed Income & XVA Quant

Excited to grow your career?

BBVA is a global company with more than 160 years of history that operates in more than 25 countries where we serve more than 80 million customers. We are more than 121,000 professionals working in multidisciplinary teams with profiles as diverse as financiers, legal experts, data scientists, developers, engineers and designers.

Quantitative & Business Solutions (QBS) is a specialized unit within BBVA CIB – Global Markets, dedicated to delivering quantitative solutions with direct impact on trading and structuring activities.

The team operates across multiple geographies and asset classes, acting as a bridge between quantitative research, technology, trading desks and Risk. QBS leads the methodological definition, development, calibration and governance of valuation models, ensuring their robustness, consistency and proper integration into the bank’s internal systems.

We are looking for a Senior Front Office Quant to lead the modelling efforts in Fixed Income (Rates, Credit, Inflation) and XVA for the London platform.

About you

• You have a strong quantitative background and significant experience in Front Office modelling within Global Markets.

• You are comfortable owning model design end-to-end: from theoretical framework to production deployment and model governance.

• You thrive in a fast-paced trading environment and are used to interacting directly with Trading, Structuring and Risk teams.

• You combine deep mathematical knowledge with strong implementation awareness.

• You demonstrate leadership, autonomy and the ability to prioritize according to business strategy.

• You are proactive, analytical and comfortable challenging and being challenged in technical discussions.

• You embody BBVA’s purpose and values in your professional approach.

About the job:

The selected candidate will play a key role in defining and executing the modelling roadmap aligned with BBVA CIB – Global Markets strategy in London.

Main responsibilities include:

• Lead the design, development and enhancement of valuation models for:

  • Interest Rate derivatives (linear and non-linear products)
  • Credit derivatives
  • Inflation products
  • XVA (CVA, DVA, FVA, MVA, KVA and related adjustments)

• Define appropriate modelling frameworks (e.g. LGM, multi-curve frameworks, SABR-type models, stochastic basis, hybrid models, credit intensity/structural models, etc.) and numerical techniques for pricing and risk management.

• Assess model risk, calibration methodologies and sensitivity frameworks, ensuring robustness and alignment with market practices.

• Act as primary quantitative partner for the London Trading and Structuring desks in:

  • Evaluating new product proposals
  • Analysing model gaps
  • Prioritizing developments according to business strategy

• Coordinate closely with Quantitative Development and Engineering teams to ensure:

  • Proper implementation of models into production systems
  • Scalability and performance of pricing libraries
  • Consistency across platforms and asset classes

• Lead the integration of models into testing and validation frameworks, improving efficiency of regression and model validation processes.

• Participate in model governance and risk approval processes:

  • Prepare technical documentation
  • Present models in internal risk committees
  • Engage with Model Risk Management and Internal Validation teams
  • Support regulatory and audit requirements related to model risk

• Support trading desks on daily activity, including:

  • Analysis of pricing discrepancies
  • Calibration issues
  • Hedging metrics and risk explanations

• Contribute to the strategic development of the XVA framework across asset classes, ensuring consistency between FO pricing and risk methodologies.

• Mentor junior quants and contribute to the technical evolution of the team.

Required skills and experience:

• Relevant experience in a Front Office Quant role within Global Markets, with strong exposure to Fixed Income and XVA.

• Deep expertise in Interest Rate modelling, including multi-curve frameworks and stochastic volatility models.

• Strong knowledge of Credit and Inflation derivatives valuation.

• Proven experience in XVA modelling frameworks (CVA/DVA/FVA/MVA), exposure simulation, collateral modelling and counterparty risk.

• Solid understanding of model calibration techniques and numerical methods (Monte Carlo, PDE, lattice methods, adjoint methods, etc.).

• Strong programming skills in C++ (object-oriented design, STL, performance considerations).

• Good knowledge of Python for prototyping and analytics.

• Experience interacting directly with Trading desks and Risk teams in an international environment.

• Familiarity with model governance processes, internal validation and regulatory requirements.

Education

• MSc in Mathematics, Physics, Engineering or other STEM discipline.

• MSc in Quantitative Finance is a plus.

• PhD in a quantitative field is highly valued.

Skills:

Empatía, Ética, Innovación, Orientación al cliente, Pensamiento proactivo