Quantitative Developer Resume Sample

Location

Spain

Rate

$30 / per hour

Years of experience

14+

About

I hold a Master’s degree in Quantitative Finance from "AFI Escuela de Finanzas," one of Spain's leading finance schools. With over a decade of experience in the finance sector, I have developed a strong expertise in quantitative analysis and software development, particularly in the creation and implementation of pricing libraries for complex financial derivatives. My career began at BBVA, where I worked as a Senior Quant Developer on the trading floor, building and adapting pricing libraries for Interest Rate and Credit derivatives. My role involved significant contributions to system migrations and upgrades, including a major Murex upgrade and a portfolio migration to Calypso. In 2022, I took on the role of Lead Quant Developer at KWA Analytics, where I focus on developing Beacon Platform-based systems. My work involves creating advanced calculation libraries and ETL processes for credit risk metrics, particularly for Asset-Based Lending. Throughout my career, I have consistently applied my strong mathematical and analytical skills to deliver solutions that meet complex business requirements. My experience across international markets, combined with certifications such as Financial Risk Manager (FRM) and Beacon Certified Financial Engineer, reflects my commitment to excellence in quantitative finance and risk management.

Tech Stack

Finance, C#, C++, FastAPI, Python

Experience

Creating and maintaining C++ pricing libraries for Interest Rate and Credit derivatives used by Global Markets Front Office teams (Trading, Sales, Structuring) at BBVA and Nordea.
Leading the adaptation and improvement of pricing libraries during the Murex system upgrade from v2.11 to v3.1, and the migration of the Security Finance portfolio to Calypso v14 at BBVA.
Working closely with Risk departments to ensure accurate daily risk reports generation and aligning risk management practices with system functionalities at Nordea.
Developing Beacon Platform-based systems, including calculation libraries for credit risk metrics in Asset-Based Lending, while implementing associated ETL processes at KWA Analytics.
Implementing agile development methodologies, such as Scrum and Kanban, to enhance software development processes and system resilience at Nordea.
Day-to-day maintenance and enhancement of valuation models for OTC products included in Equity funds, primarily using C# at BBVA Asset Management.
Collaborating with various stakeholders, including Front Office, Middle Office, and Risk departments, to improve system functionality and ensure alignment with business needs across different roles at BBVA and Nordea.

Employment history

Lead Quantitative Developer, KWA Analytics May 2022 - Present

Developed software in Python for Beacon Platform-based systems.
Participated in the creation of a Beacon library to calculate Borrowing Base and other credit risk metrics.
Designed and implemented ETL processes for integrating new data sources with the existing calculation engine.
Performed reconciliation between the newly developed calculation library and the existing systems.

Senior Quantitative Developer, BBVA March 2015 - May 2022

Developed pricing libraries for Interest Rate Vanilla and Exotic Products in C++ for Global Markets teams.
Led the migration of systems from Murex v2.11 to Murex 3.1, including code refactoring and system adaptation.
Acted as Product Owner for the valuation streamline in the migration of the Security Finance portfolio to Calypso v14.
Ensured alignment of interest rate curves and P&L figures with stakeholder requirements during system migrations.

Senior Interest Rates Developer, Nordea Markets November 2013 - March 2015

Developed C++ pricing libraries for Infinity, focusing on derivatives such as Interest Rates and Credit.
Collaborated with Front Office to incorporate “Cheapest to Deliver” effects into Interest Rate Curve generation.
Worked closely with Risk departments to ensure the accuracy and timeliness of daily risk reports.
Adopted agile software development techniques, including Scrum and Kanban, to enhance project delivery.

Quantitative Developer, BBVA July 2010 - October 2013

Developed and supported pricing libraries for Interest Rate derivatives in C++, integrated with Murex FLEX API.
Focused on short rate models, including LGM and Hull-White, and maintained Stochastic Volatility models like SABR.
Adapted pricing libraries to handle negative interest rates, addressing lognormal evolution challenges.
Enhanced and maintained Copula models for improved derivative pricing accuracy.

Financial Analyst, BBVA Asset Management September 2009 - June 2010

Maintained and developed valuation models for OTC products included in equity funds, using C#.
Performed day-to-day support and troubleshooting for existing valuation models.
Assisted in the implementation of new financial instruments into the firm’s valuation models.
Collaborated with portfolio managers to ensure accurate valuation and risk assessment of financial products.

Strategy & Operations Senior Consultant, Deloitte Consulting January 2008 - June 2009

Deployed IT tools to enhance business processes in Public Sector institutions.
Led strategic initiatives aimed at improving operational efficiency through technology solutions.
Conducted process analysis and optimization for various government projects.
Worked closely with clients to align IT implementations with organizational goals.

Education history

Afi Escuela de Finanzas 2009 - 2010 Master of Science - MS, Quantitative Finance

University of the Basque Country 2001 - 2007 Master of Science - MS, Electrical and Electronics Engineering

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