Market Risk Specialist

About the Role: We are seeking a highly skilled and experienced Senior Risk Modeler to join our dynamic risk and analytics team. This role will focus on the development and validation of pricing and risk models for fixed income trading products, with a strong emphasis on leveraged loans . The ideal candidate will bring deep technical expertise, a hands-on approach to model testing and documentation, and a collaborative spirit to help drive best-in-class risk management practices. Key Responsibilities: Develop, implement, and validate pricing and risk models for fixed income products, especially leveraged loans. Apply advanced calibration techniques and theoretical modeling, including one-factor interest rate models like the Hull-White model . Design and validate robust Profit and Loss (PnL) attribution frameworks . Conduct Value at Risk (VaR) analysis using historical simulation, and perform model sensitivity analysis (Greeks) . Ensure models comply with regulatory standards, including SR 11-7 guidelines and industry best practices. Utilize Numerix or similar vendor-based systems to support model development and risk analysis. Produce high-quality model documentation, implementation guides, and validation reports. Collaborate closely with trading, risk, and technology teams to ensure seamless integration and performance of models. Clearly communicate complex quantitative concepts to both technical and non-technical stakeholders. Required Qualifications: 7–10 years of experience in developing and/or validating trading book market risk models within the financial services industry. Advanced degree (Master’s or Ph.D.) in Finance, Mathematics, Physics, Engineering, Statistics, Computer Science, or a related quantitative discipline . Strong understanding of pricing theory, interest rate modeling, and calibration techniques. Proficient in Python with hands-on experience in testing and prototyping financial models. Familiarity with Numerix or comparable financial modeling platforms. In-depth knowledge of market risk concepts , PnL attribution , and regulatory frameworks. Excellent skills in Excel, Word, and PowerPoint . Outstanding verbal and written communication skills. Proven ability to take initiative and work effectively in a collaborative team environment. Ready to Make an Impact? If you're passionate about quantitative modeling, risk analytics, and making a tangible impact in the fixed income space, we want to hear from you. Apply today and bring your expertise to a team that values precision, innovation, and collaboration.

Location: Madrid, Community of Madrid, ES

Posted Date: 8/5/2025