VP, Fixed Income – Rates, Inflation & Credit

BBVA

Senior Front Office Quant leading fixed-income pricing and risk-model development for BBVA’s London Global Markets hub. Partnering with trading, structuring, engineering, and risk teams on model governance and XVA.

Posted 8/4/2026full-timeLondon • 🇬🇧 United KingdomLeadWebsite

Core Competencies

Role fit

Core Competencies

Use this summary to align your resume positioning with the role.

Demonstrates deep expertise in Interest Rate Modelling, including multi-curve frameworks and stochastic volatility models, while effectively leading the design and development of Pricing and Risk Management models. Proficient in model calibration techniques and programming in C++ and Python, with a strong understanding of regulatory requirements and model governance processes.

Highest-signal resume keywords

Interest Rate ModellingC++ ProgrammingModel Calibration TechniquesFixed Income Derivatives ValuationModel Governance Processes

ATS Keywords

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Applicant Tracking System Keywords

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Hard Skills

Interest Rate ModellingModel Calibration TechniquesNumerical MethodsMonte CarloPDELattice MethodsAdjoint Differentiation MethodsC++ ProgrammingPython ProgrammingAnalytical Ability

Soft Skills

LeadershipAutonomyPrioritizationAnalytical AbilityTechnical Discussion Comfort

Certifications & Qualifications

MSc in MathematicsMSc in PhysicsMSc in Engineering

Industry Keywords

Pricing & Risk ManagementModel RiskCredit DerivativesInflation DerivativesGlobal MarketsTrading DesksModel ValidationRegulatory RequirementsCross-Asset XVA FrameworkQuantitative Development

Tech Stack

Tools & technologies

Python

About the role

Key responsibilities & impact

Lead the design, development and enhancement of Pricing & Risk management models for interest rate, credit, or inflation derivatives
Define modelling frameworks and numerical techniques for pricing and risk management
Assess model risk, calibration methodologies, and sensitivity frameworks
Act as the primary quantitative partner for London Trading and Structuring desks
Evaluate new product proposals and analyze model gaps
Prioritize model developments according to business strategy
Coordinate with Quantitative Development and Engineering teams on production implementation, scalability, performance, and platform consistency
Integrate models into testing and validation frameworks
Participate in model governance and risk approval processes
Prepare technical documentation and present models to internal risk committees
Engage with Model Risk Management and Internal Validation teams
Support regulatory and audit requirements related to model risk
Support trading desks with pricing discrepancies, calibration issues, hedging metrics, and risk explanations
Contribute to the strategic development of the cross-asset XVA framework
Mentor junior quants and contribute to the technical evolution of the team

Requirements

What you’ll need

Relevant experience in a Front Office Quant role within Global Markets
Strong exposure to Fixed Income
Deep expertise in Interest Rate modelling, including multi-curve frameworks and stochastic volatility models
Strong knowledge of Credit and Inflation derivatives valuation
Solid understanding of model calibration techniques and numerical methods, including Monte Carlo, PDE, lattice methods, and adjoint differentiation methods
Strong programming skills in C++, including object-oriented design, STL, and 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
MSc in Mathematics, Physics, Engineering, or another STEM discipline
Leadership, autonomy, prioritization, analytical ability, and comfort with technical discussions
Ability to own model design end-to-end, from theoretical framework through production deployment and governance

Benefits

Comp & perks

Work-life balance support
Inclusive growth commitment
Opportunity to join a global organization operating across more than 25 countries
Talent Community access for future opportunities