Expert in Sensitivities & VaR (Value at Risk)

Talan Group; Málaga; Presencial; EUR 70.000 - 100.000; Jornada completa

Descripción de la vacante

A leading international consulting firm in Spain is seeking an Expert in Sensitivities & VaR to join a major banking client's risk management team. You will measure and monitor market risk across various asset classes while collaborating with quantitative teams and technology stakeholders. The ideal candidate has strong experience in market risk and a relevant degree. This full-time role offers competitive compensation and opportunities for professional development.

Servicios

Continuous training and professional development

Competitive compensation package

Formación

• Strong professional experience in market risk, sensitivities, and VaR methodologies.
• Experience collaborating in Agile environments using Jira.
• Familiarity with financial products including derivatives.

Responsabilidades

• Calculate and validate market risk sensitivities.
• Produce and review daily VaR metrics.
• Participate in UAT cycles and risk model testing.

Conocimientos

Market risk frameworks

VaR methodologies

Analytical skills

Communication

Python

SQL

Educación

Bachelor’s or Master’s degree in Finance, Economics, Engineering, Mathematics

Herramientas

Jira

Excel/VBA

Murex

Summit

Descripción del empleo

Expert in Sensitivities & VaR (Value at Risk)

Talan is an international consulting group specializing in innovation and business transformation through technology. With over 7,200 consultants in 21 countries and a turnover of €850M, we are committed to delivering impactful, future-ready solutions.

Talan at a Glance

Headquartered in Paris and operating globally, Talan combines technology, innovation, and empowerment to deliver measurable results for our clients. Over the past 22 years, we’ve built a strong presence in the IT and consulting landscape, and we’re on track to reach €1 billion in revenue this year.

Our Core Areas of Expertise

Data & Technologies: We design and implement large-scale, end-to-end architecture and data solutions, including data integration, data science, visualization, Big Data, AI, and Generative AI.

Cloud & Application Services: We integrate leading platforms such as SAP, Salesforce, Oracle, Microsoft, AWS, and IBM Maximo, helping clients transition to the cloud and improve operational efficiency.

Management & Innovation Consulting: We lead business and digital transformation initiatives through project and change management best practices (PM, PMO, Agile, Scrum, Product Ownership), and support domains such as Supply Chain, Cybersecurity, and ESG/Low‑Carbon strategies.

We work with major global clients across diverse sectors, including Transport & Logistics, Financial Services, Energy & Utilities, Retail, and Media & Telecommunications.

Job Description

We are looking for an Expert in Sensitivities & VaR (Value at Risk) to join a leading risk management team for one of our major international clients within the banking and financial industry. In this role, you will be responsible for measuring, validating, and monitoring market risk exposures across multiple asset classes, ensuring accuracy, consistency, and alignment with internal risk frameworks. This position involves close collaboration with quantitative teams, risk officers, and technology stakeholders.

Responsibilities

• Calculate, analyze, and validate market risk sensitivities (Delta, Gamma, Vega, Theta, Rho, etc.).
• Monitor and explain daily movements in sensitivities and risk metrics.
• Validate consistency between reported sensitivities and actual market movements.

VaR Calculation & Control

• Produce and review daily VaR metrics (historical, parametric, or Monte Carlo, depending on the system).
• Analyze daily VaR variations and identify key drivers.
• Perform backtesting and support stress testing and scenario analysis.
• Monitor VaR limits and escalate breaches or anomalies.

Risk Process Validation & Testing

• Participate in UAT cycles, process validation, and risk model testing.
• Identify data issues, model inconsistencies, and system anomalies.
• Collaborate with technology teams to implement enhancements, fixes, or new methodologies.
• Partner with quantitative analysts, risk managers, and front‑office stakeholders to explain risk movements and support decision‑making.
• Contribute to the integration of new products, valuation methods, or risk models.
• Provide clear, accurate, and timely reporting to internal stakeholders.
• Lead risk‑related initiatives and process improvements.
• Work independently, contributing to Agile ceremonies (Scrum/Kanban).
• Coordinate with diverse teams using Jira or similar tools.

Qualifications

Experience

• Strong professional experience in market risk, sensitivities, and VaR methodologies.
• Proven background working with financial products, including derivatives (options, swaps, futures, FX, rates, credit, or equity products).
• Experience conducting UAT, testing, process validation, and data quality checks.
• Prior experience collaborating in Agile environments using Jira.

Education

• Bachelor’s or Master’s degree in Finance, Economics, Engineering, Mathematics, or another quantitative discipline.

Skills & Knowledge

Technical

• Strong understanding of market risk frameworks, risk factor modeling, and valuation principles.
• Knowledge of VaR methodologies and stress testing practices.
• Familiarity with Python, SQL, Excel/VBA, or standard market risk systems (e.g., Murex, Summit, or similar).
• Solid analytical skills with attention to detail and data integrity.

Soft Skills

• High level of English (written and spoken).
• Strong communication and presentation abilities.
• Proactive, autonomous, and able to lead initiatives with minimal supervision.
• Ability to work effectively with cross‑functional teams in a fast‑paced environment.

Nice to Have

• Experience in risk reporting or model validation.
• Exposure to advanced quantitative methods or risk model design.
• Knowledge of cloud‑based environments or DevOps workflows.

What We Offer

• Full‑time, long‑term assignment with a major international banking client.
• Opportunity to work in a dynamic, multicultural environment.
• Continuous training and professional development.
• Competitive compensation package.
• Exposure to advanced market risk methodologies and complex financial products.

If you are passionate about market risk, precision analytics, and delivering high‑quality insights in a global financial environment, we would love to hear from you.