Senior Market Risk Lead, Securitized (ABS/MBS/CMBS)

BBVA; United States; On-site; USD 190,000 - 210,000; Full time

Job summary

BBVA USA is seeking a Senior Manager in Market Risk with deep expertise in U.S. structured products (ABS, MBS, CMBS) to independently assess market risk, pricing, and valuation across complex portfolios from an independent perspective.

The role requires senior technical judgment and the ability to challenge Front Office pricing, with the opportunity to influence risk frameworks and interact with senior stakeholders in a New York-based environment.

Qualifications

• 10+ years of professional experience in Market Risk or related areas.
• 5–7 years direct experience with U.S. securitized products (ABS/MBS/CMBS).
• Proven ability to analyze sensitivities, stress scenarios and risk measures.
• Hands‑on experience with Numerix and/or Polypaths.
• Strong communication with senior stakeholders.

Responsibilities

• Provide independent Market Risk oversight of structured-product portfolios, with focus on ABS, MBS, CMBS and other securitized or mortgage-related instruments.
• Monitor and assess market risk exposures across the portfolio, including key sensitivities, spread risk, interest-rate risk, volatility risk, basis risk and other risk drivers.
• Develop a deep understanding of portfolio positioning and risk concentrations, identifying emerging risks and potential vulnerabilities under changing market conditions.
• Perform rigorous analysis of valuation and pricing, independently assessing whether market prices, model outputs and valuation assumptions reflect prevailing market conditions and underlying risk characteristics.
• Challenge Front Office pricing and valuation methodologies using market data, comparable instruments, model analysis and professional judgment.
• Understand and assess the impact of key structural characteristics of securitized products, including prepayment behavior, extension/contraction risk, credit enhancement, collateral performance, tranche structure and optionality.
• Monitor developments in the U.S. ABS, MBS and CMBS markets, including liquidity, spreads, issuance activity, investor positioning, collateral performance and macroeconomic drivers.
• Evaluate portfolio risk under normal and stressed market conditions and contribute to stress-testing/ scenario-analysis frameworks.
• Assess the adequacy of risk metrics and methodologies used to capture nonlinear behavior of structured products.
• Perform independent analysis using Numerix/Polypaths and other analytical tools.
• Support the review and enhancement of market-risk frameworks, limits, controls and monitoring processes for securitized-product portfolios.
• Identify material changes in portfolio risk, valuation uncertainty or market liquidity and communicate them to Market Risk management and senior stakeholders.
• Collaborate with Trading, Finance, Model Risk and other control functions while maintaining an independent Market Risk perspective.
• Provide senior-level technical guidance on structured-product risk without broader organizational scope.

Skills

Market Risk

Structured products

Valuation

Stress testing

Stakeholder communication

Tools

Numerix

Polypaths

Job description

BBVA USA is seeking a Senior Manager in Market Risk with deep expertise in U.S. structured products (ABS, MBS, CMBS) to independently assess market risk, pricing, and valuation across complex portfolios from an independent perspective.

The role requires senior technical judgment and the ability to challenge Front Office pricing, with the opportunity to influence risk frameworks and interact with senior stakeholders in a New York-based environment.