Senior Quant Analyst – Fixed Income & Market Risk Models

From Winning Consulting, we are looking for a Senior Quant Analyst – Fixed Income & Market Risk Models to join a strategic project within the financial services sector.

Location: Spain Remote 

Responsibilities

• Develop, review and validate pricing and risk models for fixed income trading products, with a particular focus on leveraged loans.
• Analyse model theory, assumptions, calibration approaches and implementation quality.
• Review and test financial models using Python, ensuring robustness, accuracy and consistency of results.
• Work with pricing libraries and vendor-based platforms such as Numerix or equivalent solutions.
• Design, validate and enhance PnL attribution frameworks, including testing, documentation and controls.
• Analyse market risk metrics such as VaR, sensitivities and Greeks, ensuring alignment with internal model governance and regulatory expectations.
• Prepare model documentation, implementation guides, testing evidence and validation materials.
• Collaborate with stakeholders across Front Office, Risk, Finance, Technology and Model Validation.

Requirements

• 7–10+ years of experience developing, reviewing or validating trading book market risk models within financial services.
• Strong experience in pricing and risk modelling for fixed income products.
• Solid understanding of model theory, calibration techniques and one-factor interest rate models, including Hull-White.
• Advanced Python skills, with hands-on experience testing financial models.
• Experience with Numerix or comparable vendor-based modelling platforms.
• Strong knowledge of market risk concepts, including VaR, sensitivities, Greeks and PnL attribution.
• Experience preparing model development documentation, testing evidence and implementation guides.
• Advanced degree, ideally Master’s or PhD, in Finance, Engineering, Physics, Mathematics, Statistics, Computer Science, Quantitative Finance or similar.
• Excellent communication skills in English, both written and verbal.

🌐 About Winning Consulting
At Winning Consulting, we support our clients through consulting, training, recruitment and research. We apply scientific thinking and proven methodologies to create sustainable value.

More info: www.winning-consulting.com