About the job:About the PositionThe Interest Rate Volatility desk is an integral part of the Macro group within Global Markets. This desk is responsible for developing products, serving clients, and actively managing the risks associated with all interest rate volatility derivative products in G10 currencies. This includes both plain vanilla and structured instruments.
The individual in this role will be responsible for profitably expanding the client business and continuously enhancing the product offering.
Principal Functions- Develop and implement strategies for business growth.
- Act as a counterparty for interest rate volatility products for both internal and external clients, providing timely price quotations upon request.
- Manage various risks associated with the trading books, including but not limited to delta, vega, gamma, theta, vanna, and volga.
- Contribute to the development of mathematical models essential for valuing new payoffs integrated into the product catalog or for evolving existing models.
- Facilitate the integration of the Vanilla Vol desk with the Exotics desk.
- Provide training and mentorship to other team members.
- Coordinate with diverse departments across the bank, such as Sales, Engineering, and Quants, to foster existing and cultivate new business opportunities.
Education and Experience- A strong academic background in a technical field (e.g., Engineering, Mathematics, or Physics) is required.
- A Master's degree is highly valued.
- A minimum of 7 years of experience in pricing and managing a portfolio of interest rate options both vanilla and exotics, with a demonstrated track record of successfully growing business revenues, is essential.
- Proficiency in commonly used tools such as Excel, Python, Bloomberg, and VBA is expected.
Skills- Teamwork
- Detail-oriented
- Analytical thinking
- Data-based decision making
With respect to this position in our New York Office, the expected base salary ranges from $250,000 to $300,000. It is not typical for offers to be made at or near the top of the range. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.
*Employment eligibility to work with BBVA in the U.S. is required as the company will not pursue visa sponsorship for these positions
