technologies-expected :

about-project :

We are supporting an international financial project and are looking for a senior quantitative professional to lead the validation of CCR (IMM) and XVA models across derivatives portfolios.

responsibilities :

Lead independent validation of CCR (IMM) and XVA models, covering conceptual soundness, implementation integrity, and ongoing performance monitoring
Own IMM backtesting / outcomes analysis (EPE, EEPE, PFE), including methodology design, segmentation, thresholds, exception governance, and root-cause analysis
Provide effective challenge of key modeling components:
Monte Carlo exposure engines
risk factor simulation and calibration
curve construction, discounting, and portfolio aggregation
Validate netting and collateral (CSA) mechanics (VM/IM where applicable), MPoR, close-out assumptions, and model limitations
Develop and maintain benchmark / challenger models, sensitivity and stress-testing frameworks
Perform implementation verification and controls testing (replication, reconciliation, numerical stability, data lineage/quality, change management)
Present validation conclusions to MRM governance forums / Model Risk Committees and drive remediation plans with model owners and Technology
Partner with Front Office, Market & Credit Risk, Finance, and Technology teams
Mentor junior team members and contribute to CCR/XVA validation standards and best practices

requirements-expected :

Advanced degree (Master’s or PhD preferred) in a quantitative discipline
5+ years of experience in model validation, model development, or quantitative risk
Strong exposure to CCR / XVA and IMM frameworks
Advanced understanding of Monte Carlo simulation, calibration techniques, and derivatives pricing
Proven experience leading IMM backtesting / outcomes analysis
Strong Python skills (NumPy, pandas)
Excellent communication skills with the ability to translate quantitative topics into clear risk conclusions

offered :

about-project :