GLOBAL MARKET RISK UNIT QUANTITATIVE MANAGER - CIB

BCO.BILBAO VIZCAYA ARGENTARIA; España; Presencial; EUR 70.000 - 110.000; Jornada completa

Descripción de la vacante

BBVA in Spain seeks an experienced quantitative risk professional to design and implement advanced models for market and counterparty risk. You will develop data‑driven methods, support VaR, FRTB and XVA calculations, and work closely with Risk Managers and Front Office teams to ensure regulatory compliance.

You will lead technical workstreams, mentor junior analysts, and uphold robust testing and software standards in a globally coordinated risk function.

Formación

• University degree in Mathematics, Physics, Quantitative Engineering, Actuarial Sciences, Quantitative Economics or related STEM field.
• Advanced degrees (Master/PhD) in Quantitative Finance, Financial Engineering, AI, Big Data or Applied Mathematics valued.
• Minimum 6+ years in quantitative risk analysis or data science applied to banking or markets.
• Experience with market risk modeling, XVA, counterparty risk and derivatives pricing.

Responsabilidades

• Design, develop, and implement advanced mathematical models for market and counterparty risk.
• Drive metrics including VaR, Stressed VaR, IMM, PFE, XVA, and economic capital calculations.
• Collaborate with Risk Managers and Front Office teams to align valuation models with regulatory expectations.
• Enforce software architecture, CI/CD, unit testing, and reusable code across teams.
• Lead technical workstreams and mentor junior analysts in regulatory transformation projects.

Conocimientos

Financial risk

Programming

Data science

Software engineering

Educación

BSc/MSc in STEM

Master/PhD in quantitative fields

Herramientas

Python

C++

Git

Docker

Descripción del empleo

Excited to grow your career? 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.

Learn more about the area: The Global Markets Risk Unit (GMRU) area is responsible for the measurement, control, and management of market and counterparty credit risks, valuation adjustments (XVA), calculation of economic capital across BBVA’s global market positions, as well as fair value valuation, independent price verification, and quality assessment of Front Office quantitative models. All these activities are performed in accordance with applicable international regulatory frameworks and sound risk management practices.

In close coordination with quantitative analytics teams located in Front Office and other risk departments, the GMRU Advanced Analytics Team develops the quantitative methodologies and tools required to execute GMRU core processes and leads key projects related to regulatory change. The team brings together quantitative analysts and data scientists to drive innovation in risk modeling.

About the job

About you You hold a strong quantitative and analytical background with a keen interest in mathematical modeling within practical financial environments. You are passionate about applying data science, quantitative finance, and machine learning to financial risk management. You enjoy programming, building scalable risk software, and working in cross‑functional environments. You possess excellent communication skills to interact effectively with diverse technical and executive stakeholders, and you excel as a collaborative team player.

Responsibilities

• Model Development & Methodology: Design, develop, and implement advanced mathematical models, data‑driven methodologies, and quantitative tools for measuring and managing market and counterparty credit risks associated with Global Markets products.
• Risk Scope & Metrics: Drive quantitative initiatives covering market risk metrics (VaR, Stressed VaR, FRTB framework), counterparty credit risk measurement (IMM, PFE), valuation adjustments (XVA), and economic and regulatory capital calculations.
• Stakeholder Collaboration: Partner closely with Risk Managers within the Global Risk Management Unit to ensure alignment with regulatory frameworks (ECB, EBA, EBA/FRTB) and sound risk practices. Collaborate with Front Office quantitative teams to validate and align valuation models.
• Software Architecture & Testing: Enforce code development policies, software architecture standards, and rigorous testing frameworks (CI/CD, unit testing) to ensure robust, maintainable, and reusable codebase across teams.
• Leadership & Project Management: Lead technical workstreams within regulatory transformation projects, mentoring junior quantitative analysts and data scientists.

Qualifications & Requirements

Education: Required: University Degree (Bachelor's or Master's) in Mathematics, Physics, Quantitative Engineering, Actuarial Sciences, Quantitative Economics, or a related STEM field. Highly Valued: Master’s degree or Ph.D. in Quantitative Finance, Financial Engineering, Artificial Intelligence, Big Data, or Applied Mathematics.

Professional Experience: Minimum 6+ years of professional experience in quantitative risk analysis, financial engineering, or data science applied to banking, investment banking, or capital markets. Proven track record in market risk modeling, counterparty credit risk, XVA, or pricing derivatives within investment banking / corporate banking units.

Key Skills

• Financial & Risk Expertise: Solid understanding of financial markets, derivative pricing (fixed income, credit, inflation), risk management concepts (market and counterparty credit risk related), and regulatory risk frameworks (FRTB, IMM).
• Programming & Tech Stack: Advanced proficiency in at least one object‑oriented or data programming language: Python (NumPy, SciPy, Pandas, PyTorch/TensorFlow), C++, or C#.
• Data Science & ML: Practical experience with machine learning techniques applied to quantitative finance (e.g., anomaly detection, calibration optimization).
• Software Engineering: Familiarity with Git version control, continuous integration/continuous delivery (CI/CD) pipelines and containerization (Docker).

Languages

English: B2 (Advanced/Fluent) or higher (written and spoken), as this position operates in a global environment with international stakeholders.

Additional Skills

Client Orientation, Empathy, Ethics, Innovation, Proactive Thinking

We are more than 121,000 colleagues across 25 countries, working in multidisciplinary teams where we understand the importance of work-life balance. We support our clients in the energy transition and are committed to inclusive growth. We are pioneers in adopting disruptive technologies that will shape the financial industry. Dare to define the future of banking!