Credit Risk Consultant

Madrid - Spain

Monthly Salary: Not Disclosed

Posted on: 21 hours ago

Vacancies: 1 Vacancy

Job Summary

Winning Consulting is looking for aCredit Risk Contultantto jon a project for one of our multinational client in the banking sector in Madrid.

Functions:

Lead independent validation CCR exposure (IMM) and XVA models across derivates portfolios ensuring 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 investigations.
Provide effective challenge of key modeling components: Monte Carlos exposure engines risk factor simulation/ calibration curve/ discounting and portfolio aggregation.
Validate netting and collateral (CSA) mechanics (VM/ IM where aplicable) MPoR close- out assumptions and key limiatations/ use restrictions.
Develop and maintain benchmark/ challenger testing and sensitivity/ stress frameworks to assess model stability and reasonableness.
Perform implementation verification and controls testing (replication/ reconciliation numerical stability data lineage/ quality change management).
Produce and present validaton conclusion.
Partner with Front Office Market/ Credit Risk Finance and Technology.
Mentor junior team members.

Required Qualifications:

Strong technical understanding ofMonte Carlos Simulationfor exposures calibration techniques and derivates pricing dynamics across one or more asset classes (Rates/ FX/ Credit/ Equities/ Commodities).
Demostrated experience leadingIMM backtesting/ outcomes analysis.
Proficiency inPython (Numpy/ Pandas).
Strong written and verbal communication skills with the ability to translate complex quantitative issues into clear risk conclusion.
Familiarity with supervisory guidance and internal model governance practices (MRM frameworks audit/regulatory engagement).
Experience validating or reviewing elements of:
Margin models and **SIMM/IM** modeling impacts on exposure profiles
Model risk controls for market data (curves vol surfaces) CSA digitization and trade lifecycle integrity
XVA desk frameworks and pricing adjustments in front-office environments
Experience leading cross-functional initiatives and mentoring junior staff.

Do you want to know more about Winning

We are a consulting firm offering services in consulting training recruitment and headhunting. We support our clients in finding innovative and sustainable solutions ranging from applying scientific knowledge to solve complex management challenges to driving digital and technological transformation within organizations.

If you want to learn more about us visit our website athttps://

Required Experience:

Senior IC

Winning Consulting is looking for aCredit Risk Contultantto jon a project for one of our multinational client in the banking sector in Madrid.Functions:Lead independent validation CCR exposure (IMM) and XVA models across derivates portfolios ensuring conceptual soundness implemen...

Winning Consulting is looking for aCredit Risk Contultantto jon a project for one of our multinational client in the banking sector in Madrid.

Functions:

Lead independent validation CCR exposure (IMM) and XVA models across derivates portfolios ensuring 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 investigations.
Provide effective challenge of key modeling components: Monte Carlos exposure engines risk factor simulation/ calibration curve/ discounting and portfolio aggregation.
Validate netting and collateral (CSA) mechanics (VM/ IM where aplicable) MPoR close- out assumptions and key limiatations/ use restrictions.
Develop and maintain benchmark/ challenger testing and sensitivity/ stress frameworks to assess model stability and reasonableness.
Perform implementation verification and controls testing (replication/ reconciliation numerical stability data lineage/ quality change management).
Produce and present validaton conclusion.
Partner with Front Office Market/ Credit Risk Finance and Technology.
Mentor junior team members.

Required Qualifications:

Strong technical understanding ofMonte Carlos Simulationfor exposures calibration techniques and derivates pricing dynamics across one or more asset classes (Rates/ FX/ Credit/ Equities/ Commodities).
Demostrated experience leadingIMM backtesting/ outcomes analysis.
Proficiency inPython (Numpy/ Pandas).
Strong written and verbal communication skills with the ability to translate complex quantitative issues into clear risk conclusion.
Familiarity with supervisory guidance and internal model governance practices (MRM frameworks audit/regulatory engagement).
Experience validating or reviewing elements of:
Margin models and **SIMM/IM** modeling impacts on exposure profiles
Model risk controls for market data (curves vol surfaces) CSA digitization and trade lifecycle integrity
XVA desk frameworks and pricing adjustments in front-office environments
Experience leading cross-functional initiatives and mentoring junior staff.

Do you want to know more about Winning

If you want to learn more about us visit our website athttps://

Required Experience:

Senior IC

Key Skills

Access Control System
B2C
Business Analysis
Data Structures
Affiliate Marketing
Loans

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About Company

Winning

We inspire action through science Winning is a consulting firm with a global view: to apply scientific thinking and scientific methods to business challenges. Established in 2012, with a decade of existence with continuous growth. Spread over 4 offices and client sites: a team of more ... View more

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