Algorithmics Expert (Moody’s Analytics) – Banking Sector

Description

Job Summary: We are seeking an Algorithmics Expert to design, parameterize, and optimize risk modules, manage the risk calculation lifecycle, and collaborate on regulatory projects. Key Highlights: 1. Participation in advanced financial risk management platforms 2. Collaboration with risk, technology, and audit teams 3. Participation in regulatory and large-scale risk calculation projects **Algorithmics Expert (Moody’s Analytics) – Banking Sector BBVA REQUIREMENTS:** * More than **5 years of experience with Algorithmics / Moody’s Analytics** (RiskConfidence or RiskAuthority) * Hands-on experience with **SS\&C Algorithmics is mandatory**. * Real-world experience in **risk engine parameterization**, not merely functional usage * In-depth knowledge of **financial risk**: VaR, Expected Shortfall, Sensitivities, CVA, SA\-CCR * Experience with **regulatory models**: IFRS9, IRB, stress testing (EBA, ECB) * Experience with **Basel III / IV** and financial regulation * Proficiency in **advanced SQL** * Knowledge of **Python or SAS** * Experience with **Grid Computing / HPC** (IBM Platform Symphony or equivalent) * Experience with **ETL or data pipelines** (Informatica, DataStage, Talend or cloud) **Desirable:** * Experience in **Tier 1 banks** (BBVA, Santander, CaixaBank) * Experience in **migrations from Algorithmics to Moody’s RiskConfidence** * Experience in **model validation or regulatory reporting** (COREP / FINREP) * Experience working with **auditors or regulatory supervisors** (BdE / ECB) **RESPONSIBILITIES:** * Design, parameterize, and optimize **risk modules in Algorithmics / Moody’s Analytics** * Configure and maintain **risk calculation engines** (market, credit, counterparty, liquidity, and regulatory capital) * Manage the **end-to-end risk calculation lifecycle**: data loading, validations, execution on Grid/HPC, analysis, and reporting * Implement regulatory models: **PD, LGD, EAD, IFRS9, Basel III/IV** * Design and optimize **workflows, data lineage, and overnight processes** * Integrate risk platforms with **front office, data lake, and reporting tools** * Manage **critical incidents during closing windows** * Prepare **technical documentation for internal audits and regulatory supervisors** * Participate in **version migrations and continuous improvement projects** **WE OFFER:** * Project in the banking sector * Remote work in Spain under an indefinite contract * Annual gross salary open to negotiation based on experience * Participation in advanced financial risk management platforms * Collaboration with risk, technology, and audit teams * Participation in regulatory and large-scale risk calculation projects. Employment type: Indefinite contract Salary: 66\.000,00€\-69\.000,00€ per year Work location: Remote