Consultor/a Senior en Modelos de Valoración y Riesgo de Mercado – Numerix
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Job Description
Senior Consultant specialized in valuation and market risk models for high-impact financial projects. Responsibilities include validating quantitative models and collaborating across multiple teams.
Responsibilities:
- Revisar modelos de valoración implementados en Numerix, evaluando supuestos, limitaciones, calibraciones y alineación con mejores prácticas del mercado.
- Validar el cálculo de MtM (Mark to Market) y sensibilidades , asegurando consistencia, estabilidad numérica y trazabilidad completa.
- Analizar el uso de sensibilidades para métricas regulatorias clave como: FRTB SA FVA / AVA
- Evaluar la aplicabilidad de los outputs de los modelos en procesos de observabilidad de factores de riesgo y levelling .
- Elaborar documentación técnica detallada para procesos de Validación de Modelos y Auditoría Interna.
- Colaborar con equipos de Front Office, Riesgo de Mercado, Validación y Auditoría en un entorno de alta exigencia técnica.
Requirements:
- Sólida experiencia en modelos de valoración financiera , especialmente en:
- Bonos convertibles
- Bonos cancelables (callable/puttable)
- Productos con opcionalidad embebida
- Conocimiento profundo de modelos de tipos de interés y crédito.
- Experiencia práctica en MtM, sensibilidades, FRTB y ajustes prudenciales.
- Dominio avanzado de Python , con capacidad para:
- Analizar librerías existentes
- Revisar código
- Reproducir cálculos numéricos
- Experiencia con Numerix o librerías cuantitativas similares.
- Capacidad de documentar metodologías, pruebas y controles con rigor técnico.
- Nivel alto de inglés, tanto oral como escrito.
- Perfil autónomo, con criterio técnico sólido y orientación a la calidad.
- Valorable
- Experiencia en validación interna de modelos o auditorías técnicas.
- Experiencia previa en banca de inversión o entornos cuantitativos avanzados.
- Conocimiento de mejores prácticas del mercado en riesgo de mercado y valoración.
Benefits:
- Trabajo 100% remoto (según necesidades de cliente/proyecto)
- Crecimiento Versátil : Aprende nuevos idiomas y certificaciones técnicas con nuestra Expleo Academy.
- Tiempo para Ti : Disfruta de 24 días de vacaciones al año, más los días 24 y 31 de diciembre.
- Ambiente Inmejorable : Un lugar donde el apoyo entre compañeros es la norma y la competitividad no tiene cabida.
- Conexión y Bienestar : En Expleo nunca faltan las risas, y la diversión está asegurada. Participa en nuestro club de pádel y running, eventos de verano, Halloween… ¡y mucho más!
- Beneficios Flexibles : Seguro médico, cheques restaurante y guardería… ¡tú eliges cómo usarlos!
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