Market Risk Analyst – GMRU

About the role

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.

• Global Credit: This activity comprises the following mandates:
  Credit Market Making, Credit Underwriting and Risk Mitigating Hedging, Credit Totus, Credit Derivatives Market Making and SSL-Loans.
• Credit Solutions: A newly launched initiative in the SDA (Single Development Agenda) currently in the implementation phase.

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

• MIRM
  :
  Sensitivities, VaR, SVaR, and map monitoring.
• 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.

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.

• 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.

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

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