MARKET RISK ASSOCIATE I

BBVA•New York, NY

4d•$105,000 - $125,000•Onsite

About The Position

The Risk Department monitors exposure of BBVA NY and BBVA Securities to market and counterparty credit risk. Perform detailed analysis of risk profile of the assigned entity. On a daily basis, compute positions, risk sensitivities, Value-At-Risk (VaR) and other applicable risk metrics. Produce and present periodic and ad-hoc risk and valuation reports; run and maintain risk systems; reconcile positions; interface with trading teams, internal and external auditors and regulators; participate in the model validation process, assist with implementation of new projects. The Market Risk Associate supporting the Risk team is responsible for providing the analytical and reporting needs of the Risk Management team including but not limited to Daily VaR reports, daily credit exposure reports, Economic Capital, Stress Testing, Back testing.

Requirements

Bachelor’s degree, with masters preferred.
Knowledge of general market risk measures (Value-at-Risk, sensitivities, etc.), and statistics will also be necessary.
Applicant must have knowledge of derivatives markets (interest rates, FX) and various pricing methodologies, including trading and market characteristics, pricing, market liquidity and volatility.
Demonstrated quantitative and analytical skills.
Proven ability using Microsoft Office tools for reporting and analyzing data especially in Excel (knowledge of VBA is necessary).
SQL, C#, Python and other programming languages .
Strong communication, interpersonal and organization skills with an ability to effectively execute tactical plans.
Employment eligibility to work with BBVA in the U.S. is required as the company will not pursue visa sponsorship for these positions

Responsibilities

Analyze positions and portfolios of BBVA with respect to market and credit risk exposures across broad range of products, which may include interest rate, foreign exchange, fixed income, equity, volatility, commodity and their derivatives.
Ensure correct end of the day pricing of positions through continuous monitoring of quality, timeliness, and consistency of market inputs.
Assisting in the implementation of new developments in the risk system.
Daily, weekly, and monthly reporting for both internal and external purposes.
Actively participate in the New Products requirements for the Market Risk Department.
Assisting in the model validation process
Collaborate in the model documentation process for the risk system.
Work in ad-hoc projects with different departments within the bank