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BBVA is a integral 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 121,000 professionals working in multidisciplinary teams with profiles as diverse as financiers, legal experts, data scientists, developers, engineers and designers.

Learn more about the area:
The COE Risk CIB is a specialist area focused on the development and monitoring of credit risk models for Low Default Portfolios (LDP), covering products and exposures specific to the Corporate & Investment Banking (CIB) business.

About the job:
We are seeking a highly experienced Senior Manager to lead the design, development and validation of advanced quantitative models for securitization transactions and structured finance. The role is focused on cash flow modelling, credit risk modelling and scenario generation, supporting both internal risk management and external-facing processes such as rating agency interactions and transaction structuring.





The position requires deep expertise in Monte Carlo simulation frameworks, portfolio credit risk modelling and a solid understanding of rating agency methodologies applied to ABS, RMBS, CMBS and other structured products.

Responsibilities:
- Lead the development and maintenance of quantitative models for securitization transactions, including:
- Portfolio credit risk models (PD, LGD, default timing).
- Cash flow and waterfall models.
- Stress and sensitivity analysis at tranche and transaction level.
- Design and implement Monte Carlo simulation frameworks.
- Develop methodologies to assess expected loss, credit enhancement, break-even analysis and rating levels for structured finance instruments.
- Ensure alignment of internal models with rating agency methodologies (e.g. S&P;, Moody’s, Fitch).
- Provide technical leadership in model governance, documentation, validation and interaction with internal and external stakeholders.

Qualific

📌 Senior Manager I Data Scientist (Madrid)
🏢 Bbva
📍 Madrid