Market Risk Manager

About the job

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. GMRU is the unit within GRM CIB responsible for the valuation and management of market and counter party risks for BBVA SA’s 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 CRDV. 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.

• 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.

• 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).

Master’s degree in Economics, Finance, Mathematics, Physics, Engineering, or a related quantitative field. Financial certifications such as FRM or CFA will be highly valued.

Minimum of 4 years of professional experience.

At least 3 years of experience in Python development or another programming language.

Strong understanding of current regulatory and accounting frameworks.

Excellent analytical, communication, problem‑solving, and teamwork skills.

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

Liquidity Management, Microsoft Excel, OTC Market, Python (Programming Language), Risk Management.

Priority will be given to candidates who are eligible to work in the UK.