IFRS9 Modelling Senior Expert - GRM Data & Advanced Analytics

<p><b>Excited to grow your career?</b><br/> </p><p>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.</p><p></p><p><b><b>Learn more about the area:</b></b><br/> </p><p><b>La vacante estará publicada hasta el 1 de julio a las 00:00 h.</b></p><p></p><p>BBVA, a global bank with more than 75 million customers and a footprint across more than 30 countries. We help people make the best financial decisions and bring the age of opportunity to everyone. Our values guide us: customer first, think big and one team.<br/>The Global Risk Management (GRM) unit has a clear strategy to achieve risk-adjusted profitability and recurrent value creation, using a model portfolio approach to manage the group’s activity as a basis for better capital and better risk management framework.<br/>You will join the Credit Risk Parameters Discipline, within the Data &amp; Advanced Analytics team in the GRM area. Our main goal is the definition &amp; implementation of the Credit Risk parameters for Regulatory Capital (IRB), Economic Capital and IFRS9 purposes. As a Holding unit, we also coordinate GRM Advanced Analytics in the countries where we operate. We are a highly skilled multidisciplinary team, passionate about data and risk modelling techniques.</p><p></p><p><b>About the job:</b></p><p></p><p><b>What you will do</b><br/>Based in Madrid, the successful candidate will join the Credit Risk Parameters Holding team, as IFRS9 Modelling Expert, assuming hands-on responsibilities in the development and implementation of advanced credit loss forecasting methodologies and parameter estimates for IFRS9 purpose. This will include:<br/>● Definition of the IFRS9 modelling methodologies and standards within BBVA Group: staging criteria, collective parameter estimates (PD, LGD, CCF, EAD Decay, etc.),<br/>forward-looking econometric models, macroeconomic scenario analysis, etc.<br/>● Continuously adapt and improve BBVA ́s credit loss forecasting and IFRS9 parameter estimates methodologies based on market best practices, latest relevant research and regulators’ feedback. Communicate these improvements and oversee their effective implementation across the Group.<br/>● Coordination, together with the Regional Analytics Teams, of the definition,<br/>prioritization and approval of the annual IFRS9. Effective ownership of this annual plan, by ensuring its timely and successful delivery.<br/>● Act as an expert modelling reference for the Regional Analytics Teams, by providing methodological solutions to the different questions and problems raised by the geographies. Ensure alignment to the modelling standards defined by Holding, and provide an effective and constructive challenge to the developments executed by the local teams.<br/>● Coordination with the 2LoD (Internal Validation Unit), and interaction with Internal and External Auditors. Leadership of the stress testing exercises and of any potential regulatory on-site inspections related to IFRS9.</p><p>● Coordination and stakeholder management of Risk, Finance and Business units (both at Holding and regional levels), always ensuring alignment with BBVA global strategy.<br/>● Analysis, definition and monitoring of the continuous enhancements required to improve the availability and quality of data for IFRS9.<br/>● Analysis and monitoring of the relationship between the new Definition of Default (nDoD) and Stage 3, adapting the databases and final estimates to the new nDoD.<br/>● Design the backtesting methodology and implement a comprehensive framework for review of estimates for the IFRS9.<br/>● Lead, motivate and inspire our Data Scientists, ensuring professional challenges that match their expectations, and creating a long term engagement and commitment within the team.</p><p><br/><b>Team &amp; Agile structure </b><br/>BBVA adopted an agile structure several years ago, leading the agile practice in the financial industry. Data scientist teams are structured in Centers of Expertise (CoE), and staffed into the different projects and initiatives, according to their skills, level of seniority and project requirements. This agile structure has provided a greater flexibility to adapt to business needs, and also to people's motivations and willingness to be involved in different areas.<br/>You will lead a staffed team at Holding level (4 to 8 people, internal and external), and coordinate the staffed teams for each country. In addition, you will also act as the key person for motivation, career development and performance review of the people staffed in your projects.</p><p><br/><b>Qualifications</b><br/>We are looking for a highly motivated and proactive senior profile, with relevant experience in the IFRS9 and IRB space.<br/>Some