Market Risk Analyst – GMRU London

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 121000 professionals working in multidisciplinary teams with profiles as diverse as financiers legal experts data scientists developers engineers and designers.

The individual joining the GMRU (Global Market Risk Unit) team in London will
become part of the group responsible for measuring Market Risks for the Credit Desk
within the BBVA SA Treasury Room.

About the job:

Abot the role

By understanding and controlling the configuration of measurement tools the
candidate will support the Risk Measurement Process. This role focuses on
calculating metrics for the Global Credit portfolios and the new Credit Solutions activity within the Global Markets Treasury Room for the BBVA SA perimeter.

Scope of Activity

• Global Credit: This activity comprises the following mandates:

  • Credit Market Making

  • Credit Underwriting and Risk Mitigating Hedging

  • Credit Totus

  • Credit Derivatives Market Making

  • SSL-Loans

• Credit Solutions: A newly launched initiative in the SDA (Single Development Agenda) currently in the implementation phase.

Key Responsibilities & Metrics

The successful candidate will be responsible for monitoring and calculating the
following:

• MIRM: Sensitivities VaR SVaR and map monitoring.

• IRC Calculation (Incremental Risk Charge).

• FRTB SA: SBM RRAO and DRC.

• P&L Attribution: Calculate and monitor P&L attributed to GM Credit activity based on sensitivities with the aim of understanding and replicating the Management Account.

• Backtesting: Perform daily challenges to the current internal model by comparing VaR against Credit activity results.

• Systems & Data: Identify and resolve incidents related to the configuration and integration of Front Office (FO) and Risk systems. This includes extracting static data P&L vectors and sensitivities.

• Development: Create tools to complement system deficiencies or improve process efficiency where necessary.

• Project Participation: Contribute to CIB SDA projects linked to Credit Solutions or initiatives such as Global Credit FI ETFs.

Technical Tools & Systems

Proficiency in core Business and Risk tools is required for metric calculation and
analysis:

• Front Office Systems: Murex 3 and Star.

• Risk Systems: Management and parameterization of Algorithmics and Mentor.

Communication & Soft Skills

• Business Partnership: Maintain continuous daily communication with the Business desk providing necessary metrics as a control function to ensure compliance with defined limits and tolerance levels.

• Teamwork: Demonstrate a strong capacity for collaboration as GM Credit activity is integrated and consolidated into the daily metrics monitored at BBVA SA.

What are we looking for

Essential Requirements:

• Programming Skills: Proficiency in SQL Python R etc.

• Financial Markets & Products: Strong knowledge of financial markets and products as well as financial models for market risk liquidity and valuation.

• Excel/Office Suite: Expert-level knowledge of Excel and the Microsoft Office suite.

• Professional Experience: At least one year of experience in a Global Markets area.

• Language Skills: English.

• Data Analysis: Ability to analyze information within databases (SQL Big Data) would be desirable.

Skills: