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Senior Market Risk Measurement Analyst - FRTB IMA
On-site in Madrid·Full-time·Added 2 days ago
What they offer
Full-time hours
Per the ad.
What they ask for
Have the right to work in Spain
BBVA doesn't mention sponsorship in the ad.
Work in English
English is required, per the ad.
Work on-site in Madrid
No relocation package mentioned.
This job was automatically translated to English,.
The role
You will be part of GMRU Measurement, the team responsible for measuring the Market Risks of the BBVA S.A. Trading Floor. Specifically, within the FRTB IMA subgroup, you will participate in the calculation, control, and evolution of the key metrics of the internal models of the new regulatory framework (FRTB):
What you'll do
- Calculation and Control: Operational and comprehensive support in the FRTB IMA measurement process and monitoring of internal management model metrics (VaR, SVaR, IRC, PFE) and the standard model (SBM, DRC, RRAO).
- Technological Development & iMetrics: Contribute to the technical/functional development of iMetrics through programming, process automation, data extraction, and incident resolution in Front Office and Back Office systems.
- Systems Management: Parameterization and use of market tools such as Murex 3 (MX3), Star, Algorithmics, and Mentor.
- Interaction & Challenge: Autonomous work performing a rigorous challenge of the figures and interacting with Treasury Desks, Technology, Data Quality, and Risk Platforms.
description
Excited to grow your career?
Learn more about the area:
- Key Metrics: IMCC, SES, and DRC-IMA.
- Associated Processes: HPL/RTPL, Backtesting, PLA, and risk factor modelability (NMRF).
- Technological Environment: Development, automation, and support through the internal tool iMetrics.
Skills
Client Orientation, Empathy, Ethics, Innovation, Proactive Thinking
Requirements
What we're looking for
- Programming: Proficiency in Python (demonstrable experience in analysis and development of scripts/tools).
- Financial Knowledge: Markets, financial products, and market risk models, valuation, and liquidity.
- Risk and P&L Metrics: Management of P&L, sensitivities, risk factors, VaR, and Expected Shortfall.
- Experience: Minimum 1 year of experience in Markets areas.
- Languages: English minimum level B2.
Nice to have
- Database management (SQL, Big Data) and advanced Excel.
- Experience with Murex, Streamlit, FastAPI, and/or Git.
- Specific knowledge in NMRF, PLA, and Backtesting.
- English level C1.
The role
Formarás parte de GMRU Medición, el equipo responsable de medir los Riesgos de Mercado de la Sala de BBVA S.A. En concreto, dentro del subgrupo FRTB IMA, participarás en el cálculo, control y evolución de las métricas clave de los modelos internos del nuevo marco regulatorio (FRTB):
What you'll do
- Cálculo y Control: Apoyo operativo e integral en el proceso de medición de FRTB IMA y seguimiento de métricas del modelo interno de gestión (VaR, SVaR, IRC, PFE) y del modelo estándar (SBM, DRC, RRAO).
- Desarrollo Tecnológico & iMetrics: Contribuir al desarrollo técnico/funcional de iMetrics mediante programación, automatización de procesos, extracción de datos y resolución de incidencias en sistemas de Front Office y Back Office.
- Manejo de Sistemas: Parametrización y uso de herramientas de mercado como Murex 3 (MX3), Star, Algorithmics y Mentor.
- Interacción & Challenge: Trabajo autónomo realizando un challenge riguroso a las cifras e interactuando con las Mesas de Tesorería, Tecnología, Data Quality y Risk Platforms.
description
Excited to grow your career?
Learn more about the area:
- Métricas Clave: IMCC, SES y DRC-IMA.
- Procesos Asociados: HPL/RTPL, Backtesting, PLA y modelabilidad de factores de riesgo (NMRF).
- Entorno Tecnológico: Desarrollo, automatización y soporte a través de la herramienta interna iMetrics.
Skills
Client Orientation, Empathy, Ethics, Innovation, Proactive Thinking
Requirements
What we're looking for
- Programación: Dominio de Python (experiencia demostrable en análisis y desarrollo de scripts/herramientas).
- Conocimiento Financiero: Mercados, productos financieros y modelos de riesgo de mercado, valoración y liquidez.
- Métricas de Riesgo y P&L: Manejo de P&L, sensibilidades, factores de riesgo, VaR y Expected Shortfall.
- Experiencia: Mínimo 1 año de experiencia en áreas de Mercados.
- Idiomas: Inglés nivel B2 mínimo.
Nice to have
- Manejo de BBDD (SQL, Big Data) y avanzado de Excel.
- Experiencia con Murex, Streamlit, FastAPI y/o Git.
- Conocimientos específicos en NMRF, PLA y Backtesting.
- Inglés nivel C1.
About BBVA
BBVA (Banco Bilbao Vizcaya Argentaria) is a multinational Spanish banking group and one of the largest financial institutions in Europe, with a strong presence in retail banking, corporate and investment banking, and fintech innovation. Headquartered in Madrid, BBVA operates across more than 25 countries, serving over 70 million customers, and is recognized for its leadership in digital transformation within the banking sector. The bank is also a major player in sustainable finance, with significant commitments to green bonds and climate-related lending.
In Spain, BBVA is a market leader with its headquarters in Madrid and a vast network of offices and branches across the country. The company is known for its innovative and technology-driven work culture, investing heavily in AI, data science, and advanced analytics. For international professionals, BBVA offers a dynamic environment with opportunities in quantitative finance, data science, and corporate banking, and it actively recruits talent from around the world, particularly in its Madrid hub. The bank's commitment to sustainability and digital innovation makes it an attractive employer for those looking to work in a forward-thinking financial institution.
- Industry
- Banking and Fintech
- Founded
- 1857
- Employees
- 100,000–150,000
- Headquarters
- Madrid, Spain
- In Spain
- Madrid, Barcelona
- Website
- bbva.com
Good to know if you are moving
- BBVA is headquartered in Madrid, Spain, and is one of the largest banks in Europe, offering a wide range of career opportunities in finance, technology, and data science.
- The company has a strong commitment to digital innovation, with significant investment in AI and data analytics, making it an ideal place for tech and data professionals.
- BBVA offers international mobility programs, allowing employees to work across its global network in Europe, Latin America, and the United States.
- The bank is a leader in sustainability, with a goal to mobilize 300 billion euros in green financing by 2025, providing opportunities for professionals interested in sustainable finance.
- BBVA's work culture emphasizes innovation, diversity, and inclusion, with a focus on employee well-being and professional development.
In their own words
About the company & team
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.
About the company & team
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.
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