Role OverviewWe are seeking an experienced Senior Manager within Market Risk with deep expertise in U.S. structured products, including ABS, MBS, CMBS and related securitized products.
The role requires a strong understanding of the U.S. securitized-products market and the ability to independently assess market risk, pricing and valuation dynamics across complex portfolios.
This is a senior technical and risk-management position requiring sound judgment, market expertise and the ability to challenge trading and valuation assumptions from an independent Market Risk perspective.
Key Responsibilities- Provide independent Market Risk oversight of structured-product portfolios, with particular focus on ABS, MBS, CMBS and other securitized or mortgage-related instruments.
- Monitor and assess market risk exposures across the portfolio, including key sensitivities, spread risk, interest-rate risk, volatility risk, basis risk and other relevant risk drivers.
- Develop a deep understanding of portfolio positioning and risk concentrations, identifying emerging risks and potential vulnerabilities under changing market conditions.
- Perform rigorous analysis of valuation and pricing, independently assessing whether market prices, model outputs and valuation assumptions appropriately reflect prevailing market conditions and underlying risk characteristics.
- Challenge Front Office pricing and valuation methodologies where appropriate, using market data, comparable instruments, model analysis and professional judgment.
- Understand and assess the impact of key structural characteristics of securitized products, including prepayment behavior, extension/contraction risk, credit enhancement, collateral performance, tranche structure and optionality.
- Monitor developments in the U.S. ABS, MBS and CMBS markets, including changes in liquidity, spreads, issuance activity, investor positioning, collateral performance and macroeconomic drivers.
- Evaluate portfolio risk under both normal and stressed market conditions and contribute to the development and interpretation of stress-testing and scenario-analysis frameworks.
- Assess the adequacy of risk metrics and methodologies used to capture the specific characteristics and nonlinear behavior of structured products.
- Perform independent analysis using industry-standard valuation and analytics platforms, including Numerix and/or Polypaths, as well as other relevant analytical tools.
- Support the review and enhancement of market-risk frameworks, limits, controls and monitoring processes applicable to securitized-product portfolios.
- Identify material changes in portfolio risk, valuation uncertainty or market liquidity and communicate them clearly to Market Risk management and relevant senior stakeholders.
- Partner effectively with Trading, Finance, Model Risk and other control functions while maintaining an independent Market Risk perspective.
- Provide senior-level technical expertise and guidance on structured-product risk without requiring the broader organizational or strategic scope expected of a Principal or Director-level role.
Required Experience- 10+ years of relevant professional experience in Market Risk, Trading Risk, Valuation, Product Control or a closely related function within fixed income or structured products;
- At least 5-7 years of direct experience covering U.S. securitized products, including ABS, MBS and CMBS.
- Demonstrated experience in market risk measurement, valuation and pricing assessment of complex fixed-income and structured-product portfolios.
- Strong track record analyzing sensitivities, stress scenarios, spread risk, interest-rate risk, optionality, prepayment risk and extension risk.
- Significant exposure to the U.S. structured-products market, ideally within a major bank, broker-dealer, asset manager or other institution with meaningful securitized-products activity.
- Hands-on experience using Numerix and/or Polypaths for valuation, cash-flow analysis and risk measurement.
- Experience independently challenging Front Office assumptions, pricing and risk assessments from an independent Market Risk perspective.
- Prior experience interacting with senior stakeholders across Trading, Risk, Finance, Valuation and Model Risk.
Required Qualifications and Expertise- Deep expertise in ABS, MBS and CMBS, with strong understanding of product structures, cash-flow behavior, embedded optionality and key valuation and risk drivers.
- Strong and demonstrable knowledge of the U.S. securitized-products market.
- Significant experience analyzing market risk through sensitivities, scenario analysis, stress testing and other quantitative and qualitative risk measures.
- Strong valuation and pricing expertise, including the ability to independently assess market levels and critically evaluate model-based valuations.
- Strong understanding of fixed-income markets, yield curves, credit spreads, volatility, liquidity and relative-value dynamics.
- Excellent analytical and quantitative capabilities, combined with strong commercial and market judgment.
- Ability to interpret complex portfolios and translate technical risk analysis into clear conclusions and actionable risk assessments.
- Strong communication skills and the ability to engage credibly with senior stakeholders, traders, quantitative teams and other control functions.
- Demonstrated ability to work independently and exercise sound judgment in complex or fast-moving market environments.
Preferred Background- Prior experience within a major U.S. or international bank, broker-dealer, asset manager or other institution with significant structured-products activity.
- Experience covering trading desks active in U.S. securitized products from a Market Risk or independent risk-management perspective.
- Strong familiarity with mortgage analytics, prepayment models, cash-flow modeling and structured-product valuation methodologies.
- Knowledge of relevant market data sources, valuation platforms and risk infrastructure used within securitized-products businesses.
With respect to this position in our New York Office, the expected base salary ranges from $190,000 to $210,000. It is not typical for offers to be made at or near the top of the range. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.
*Employment eligibility to work with BBVA in the U.S. is required as the company will not pursue visa sponsorship for these positions
