Senior Manager I Data Scientist - Quantitative Modelling for Securitizations

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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 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.

Qualifications:

10+ years of experience in quantitative modelling roles within financial institutions, consultancies or rating agencies.

Strong expertise in structured finance / securitizations, including ABS, RMBS, CMBS or similar asset classes.

Proven experience in:

Monte Carlo simulation and stochastic modelling.

Portfolio credit risk and loss distribution modelling.

Cash flow and waterfall modelling for structured products.

Deep understanding of rating agency methodologies and criteria for securitizations.

Solid knowledge of regulatory frameworks relevant to securitizations and credit risk modelling (IRB, capital, provisioning).

Advanced programming skills in Python (or equivalent), with experience building scalable and production-ready modelling frameworks.

Experience leading teams and complex quantitative projects end-to-end.

Strong communication skills, with the ability to explain complex quantitative concepts to non-technical stakeholders and external parties.

Fluent in English.

Skills:

Customer Targeting, Empathy, Ethics, Innovation, JupyterLab, Machine Learning (ML), Proactive Thinking, Python (Programming Language)