CCR / XVA Model Validation Lead (IMM)

Nasze wymagania: 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 Mile widziane: Familiarity with supervisory guidance and Model Risk Management (MRM) frameworks Experience with: Margin models and SIMM / IM Market data risk controls (curves, volatility surfaces) XVA desk frameworks in front-office environments Experience leading cross-functional initiatives and mentoring O projekcie: 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. Zakres obowiązków: 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 Oferujemy: Multisport card Private medical care