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BBVA is a global company with more than 160 years of history that operates in more than 25 countries where we serve more than 80 million customers. We are more than 121,000 professionals working in multidisciplinary teams with profiles as diverse as financiers, legal experts, data scientists, developers, engineers and designers.

The main responsibilities of the Global Markets Risk Unit Area (GMRU) include fair value valuation, independent price verification, calculation of additional valuation adjustments/prudent valuation, control of both market and counterparty credit risks, calculation of economic capital of BBVA's global market positions, and quality assessment of front office models. All of these responsibilities must comply with the corresponding regulatory frameworks.

In coordination with other quantitative and advanced analytics teams located in the front office and other risk areas, the GMRU Advanced Analytics Team contributes to the development of the methodology and tools necessary to carry out the Global Markets Risk Unit processes. It also contributes to the execution of projects related to regulatory changes. The team is composed of both quantitative analysts and data scientists.

About the job:

Description:

Your primary responsibility is to contribute to the development of mathematical models and tools required to carry out the Global Markets Risk Unit processes, including independent price verification (IPV), additional valuation adjustments (AVAs), measurement and management of financial risks associated with Global Markets products, and quality assessment of front office models.

You will work closely with risk managers within the Global Risk Management Unit to ensure that these methodologies and tools are in line with sound risk management practices and regulatory frameworks. Additionally, you will collaborate with front office quantitative teams to ensure that valuation models are also aligned with these practices and are of high quality.

You will be responsible for adhering to code development policies, ensuring that new developments comply with well-established programming standards and can be shared by different teams. Furthermore, you will be responsible for ensuring that new developments comply with the testing frameworks.

Qualifications:

The ideal candidate would have a university degree in mathematics, physics, engineering, actuarial sciences, economics (with a quantitative focus), or a related field. Additionally, having a Master's degree in quantitative finance, big data, or any other quantitative field would be highly valued and 5 years experience in a similar position.

It would be desirable for the candidate to have some knowledge of financial markets and products, derivatives valuation techniques, and risk management concepts. The candidate should also have experience with at least one of the following programming languages: C++, C#, or Python, and knowledge of machine learning techniques would be a plus.

Finally, it is important for the candidate to possess English language skills at a B2 level or higher.

About You:

You have an analytical background and a keen interest in mathematical modelling in a practical environment, and you are eager to apply theory into practice. You have a strong interest in applying this knowledge in financial risk management. You enjoy programming and possess excellent communication skills, allowing you to interact with people from diverse backgrounds. Furthermore, you are a team player, willing to collaborate effectively with colleagues.

Skills:

Customer Targeting, Empathy, Ethics, Innovation, Proactive Thinking

Banco Bilbao Vizcaya t/a Bbva Finance (Uk) Ltd

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