Lead Model Validator (CCR XVA IMM)

Madrid - Spain

Monthly Salary: Not Disclosed

Experience Required: 4-5years

Posted on: 6 hours ago

Vacancies: 1 Vacancy

Job Summary

ALOVIA Consulting we are looking for an Lead Model Validator (CCR / XVA / IMM) for one of our clients in the services sector in Spain.

Lead the independent validation of CCR exposure (IMM) and XVA models across derivatives portfolios ensuring conceptual soundness implementation integrity and robust ongoing performance monitoring.

Own the IMM backtesting / outcomes analysis framework (EPE/EEPE/PFE) including methodology design segmentation threshold setting exception governance and rootcause investigations.

Provide effective challenge of key modeling components including Monte Carlo exposure engines riskfactor simulation and calibration curve construction/discounting and portfoliolevel aggregation.

Validate netting and collateral (CSA) mechanics (including VM/IM where applicable) MPoR closeout assumptions and key model limitations or use restrictions.

Develop and maintain benchmark/challenger tests as well as sensitivity and stresstesting frameworks to assess model stability and reasonableness.

Perform implementation verification and controls testing including replication/reconciliation numerical stability checks data lineage and quality assessments and changemanagement reviews.

Produce and present validation conclusions to MRM governance forums / Model Risk Committees driving remediation plans with model owners and Technology partners.

Collaborate with Front Office Market and Credit Risk Finance and Technology to resolve findings enhance model transparency and improve automation of monitoring and reporting processes.

Mentor junior team members and contribute to validation standards best practices and continuous improvement of the CCR/XVA validation framework.

Requisitos

Advanced degree (Masters or PhD) in a quantitative discipline such as Mathematics Statistics Physics Engineering Computer Science or Quantitative Finance.

5 years of experience in model validation model development or quantitative risk with strong exposure to CCR / XVA and IMM frameworks.

Deep technical understanding of Monte Carlo simulation for exposure modeling calibration techniques and derivatives pricing dynamics across one or more asset classes (Rates FX Credit Equities Commodities).

Demonstrated experience leading IMM backtesting / outcomes analysis including exception governance and remediation management.

Proficiency in Python (NumPy pandas).

Strong written and verbal communication skills with the ability to translate complex quantitative issues into clear and actionable risk conclusions.

Familiarity with supervisory expectations and internal model governance practices (MRM frameworks audit regulatory engagement).

Experience validating or reviewing:

Margin models and SIMM/IM impacts on exposure profiles
Modelrisk controls for market data (curves volatility surfaces) CSA digitization and trade lifecycle integrity
XVA desk frameworks and pricing adjustments in frontoffice environments

Experience leading crossfunctional initiatives and mentoring junior staff.

Ventajas

Why ALOVIA

At ALOVIA you will join an international team specialized in IT projects and software development. We work across a wide range of sectors from enterprise solutions and web applications to system integration and cloud services.

At ALOVIA we are committed to creating an inclusive and diverse environment ensuring equal opportunities regardless of race religion sex gender identity sexual orientation national origin disability age or any other protected characteristic. We promote gender equality in accordance with Organic Law 3/2007 and value multiculturalism ensuring that everyone is treated with respect and dignity. We comply with all fair employment practices regarding citizenship and immigration status.

If you are looking for a challenge in a dynamic and collaborative work environment and you are passionate about innovation and excellence we would love to hear from you. You can also send your CV to .

ALOVIA Consulting we are looking for an Lead Model Validator (CCR / XVA / IMM) for one of our clients in the services sector in Spain.Lead the independent validation of CCR exposure (IMM) and XVA models across derivatives portfolios ensuring conceptual soundness implementation integrity and robust o...