Market Risk Manager

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

GMRU is the unit within GRM CIB responsible for the valuation and management of market and counterparty risks for BBVA SAs trading activities in derivatives and SFTs. These duties are performed in strict compliance with the accounting principles of IFRS 13 (Fair Value) and the capital requirements directive CRD V.

Within GMRU Global Admission Valuation & ESG our primary responsibility is the valuation of all accounting positions classified at Fair Value for BBVA SA alongside holding discipline-level authority across the entire BBVA Group.

About the job:

Key Responsabilities:

• Defining valuation criteria for the Trading Book and Banking Book portfolios not measured at amortized cost.

• Managing Prudent Valuation metrics (AVA).

• Handling Treasury Shares deduction metrics.

• Determining fair value hierarchy metrics under IFRS 13 (Levelling).

• Applying Independent Price Verification (IPV) frameworks.

• Overseeing the liquidity framework.

Role Description:

• Responsible for the calculation and monitoring of Additional Valuation Adjustments (AVA).

• Accountable for the classification monitoring and application of Levelling criteria.

• Responsible for calculating treasury shares deductions and monitoring financial institution holding thresholds.

• Actively participate in the liquidity framework management.

• Accountable for the calculation and reporting of valuation adjustments.

• Responsible for the calculation monitoring and metrics related to off-system transactions (non-system trades).

What are we looking for

• Education: Masters degree in Economics Finance Mathematics Physics Engineering or a related quantitative field. Financial certifications (such as FRM or CFA) will be highly valued.

• Experience: A minimum of 4 years of professional experience.

• Technical Skills: At least 3 years of experience in Python development or another programming language.

• Knowledge: Strong understanding of current regulatory and accounting frameworks.

• Soft Skills: Excellent analytical communication problem-solving and teamwork skills.

• Languages: Fluency in English (C1 level or higher). Spanish would be a plus.

Please note that priority will be given to candidates who are eligible to work in the UK.

Skills: