PRINCIPAL MANAGER GRM DATA & ANALYTICS - RETAIL CREDIT RISK MODELS & PARAMETERS | MADRID, ES

Principal Manager GRM Data & Analytics - Retail Credit Risk Models & Parameters Excited to grow your career? 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 professionals working in multidisciplinary teams with profiles as diverse as financiers, legal experts, data scientists, developers, engineers and designers.
Learn more about the area.
*La publicación estará activa hasta las h del 27 de marzo* Our Company BBVA is a global financial institution at the forefront of innovation, data-driven decision-making, and digital transformation.
Operating in over 25 countries with a workforce exceeding professionals, BBVA is committed to creating opportunities for customers and society.
Our mission is to bring the age of opportunity to everyone by providing world-class financial solutions and robust risk management frameworks.
Our Area The Global Risk Management (GRM) division plays a crucial role in ensuring sustainable growth and value creation through risk-adjusted profitability strategies.
Our mission is to enhance capital efficiency and strengthen risk management by leveraging data, advanced analytics, artificial intelligence and digitization frameworks.
Our Area The Global Risk Management (GRM) division plays a crucial role in ensuring sustainable growth and value creation through risk-adjusted profitability strategies.
Our mission is to enhance capital efficiency and strengthen risk management by leveraging data, advanced analytics, artificial intelligence and digitization frameworks.
About the job.
Role Overview As the Principal Leader for Retail Credit Risk Models & Parameters, you will play a strategic leadership role in defi ning and executing the global approach to credit risk rank ordering (Scoring and Rating for origination, customer management and collections, income estimation, etc.) and parameter models (PD, LGD, EAD) under IRB, IFRS9, and EC frameworks for Retail portfolios.
This role requires deep expertise in credit risk analytics, data science, regulatory compliance, and analytics transformation.
You will lead a team of senior data scientists, driving excellence in credit risk model development, regulatory alignment, and advanced analytics.
Your work will directly impact BBVA's risk management strategy, ensuring compliance with BIS, EBA, ECB, CRR3, IFRS9, and other supervisory expectations while optimizing risk-adjusted profitability.
Main Functions • Elaborate and drive the global strategy and annual roadmap for Retail credit risk rank ordering (origination scorecards, behavioural and proactive scorecards, collections models, income estimators, etc.) and parameter models (PD, LGD, EAD), fostering close collaboration with Local and Holding stakeholders to ensure alignment and effective integration in the risk management processes.
• Define and uphold group-wide rules and standards for the development, monitoring and backtesting of Retail credit risk rank ordering and parameter models, ensuring alignment with market best practices.
• Ensure the continuous development, backtesting, and recalibration of these models, fully complying with BIS, EBA, ECB guidelines, and standards, including CRR3, EBA GLs, ECB EGIM, ICAAP, and IFRS9.
This includes adhering to governance frameworks, documentation requirements, and regulatory expectations, as well as staying ahead of evolving guidelines to proactively adapt methodologies and ensure ongoing compliance.
• Collaborate closely with Data and Engineering teams to identify and resolve data quality and infrastructure issues impacting the quality of the Retail credit risk models.
• Proactively identify, assess, and mitigate model risks and limitations throughout the entire lifecycle of Retail credit risk rank ordering and parameter models.
Collaborate with internal and external stakeholders, including Model Risk and Internal Validation teams and Supervisors, to address any identified gaps, implement necessary enhancements, resolve recommendations and limitations.
• Lead the innovation and transformation of the Retail credit risk models landscape by integrating AI and advanced Machine Learning techniques, leveraging alternative data sources (e.
., credit bureaus, digital footprint, sociodemographic data, customer networks) to enhance predictive power and decision-making.
• Lead cross-functional initiatives with other Advanced Analytics teams (Client Solutions, Engineering, etc.) to identify and leverage additional data sources for the Retail credit risk rank ordering models.
• Modernize model development workflows by transitioning from legacy systems (e.
., SAS) to cloud-based solutions on AWS, enabling scalable, efficient, and automated processes that accelerate model development, monitoring, and deployment.
• Mentor and inspire a high-performing team of credit risk analytics data scientists, fostering a collaborative and innovative culture that promotes knowledge sharing and continuous improvement.
Provide strategic direction, technical guidance, and hands-on support to enhance expertise in credit risk modeling and analytics.
• Provide strategic direction, technical guidance, and hands-on support to enhance the team's expertise.
• Actively invest in professional development through coaching, training, and career growth opportunities, ensuring the team remains at the forefront of industry best practices and regulatory expectations.
The position requires an individual capable of driving organisational change and working under pressure, while engaging with multiple areas and stakeholders simultaneously.
Among others.
• Collaborate with other GRM Holding and local leaders to ensure the effective implementation of the analytics governance framework.
• Ensure that the organisation manages proactively the compliance with the regulatory requirements defined by the Supervisors and Regulators in the IRB, ICAAP and IFRS9 spaces.
• Engage internally with the different Regulatory Affairs teams (at Holding and Local levels), and externally with Regulators, Supervisors, and International Organisations in public consultations and hearings concerning future regulatory developments.
• Collaborate with top-tier consulting firms to enhance and evolve RetailCredit Risk modeling methodologies, ensuring alignment with industry best practices, emerging trends, and regulatory expectations.
The chosen candidate will report to the Global Head of GRM Data & Analytics and be a part of the leadership team.
Minimum Requirements • Master's or PhD in Computer Science, Data Science, Statistics, Mathematics, Engineering, or a related quantitative field.
• Over 15 years of experience in developing, validating, and monitoring Retail credit risk rank ordering models across the entire credit lifecycle-origination, customer management, and recoveries-as well as parameter models (PD, LGD, EAD) under IRB, IFRS 9, and EC frameworks.
• Proven expertise in regulatory frameworks (IRB, IFRS9), with a strong track record of navigating complex remediation initiatives and ensuring full compliance with supervisory requirements.
• Hands-on experience in IRB Roll-out, Return to Compliance (RtC), and EBA Repair Programs and/or IFRS9 model development/model validation wide programs.
• Strategic mindset with the ability to align capital and provisioning levels with BBVA's business objectives, optimizing risk-adjusted profitability across global portfolios.
• Experience with Artificial Intelligence, advanced Machine Learning techniques and Cloud-based technologies (AWS) will be considered a strong advantage.
• Strong knowledge of alternative data sources relevant to credit risk modeling, including credit bureaus, digital footprint, client networks, fraud data, open data, and other non-traditional sources, to enhance predictive power and decision-making.
Skills.
Customer Targeting, Empathy, Ethics, Innovation, Proactive Thinking