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.

Key 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