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