Contract Model Validation Quant - XVA/CVA

Investigo; City Of London; On-site; GBP 70,000 - 90,000; Full time

Job summary

A financial services firm in London is seeking a highly skilled Model Validation Quant to join their Model Risk team. The role focuses on validating models and implementing new CVA models, requiring strong expertise in XVA and proficiency in Python. Applicants should have experience in risk models and the capability to contribute from day one.

Qualifications

• Strong experience in XVA, CCR or CVA modelling.
• Proficiency in Python is mandatory.
• Familiarity with risk models including PFE, XVA, and VAR.

Responsibilities

• Validate existing CCR/CVA/XVA models for compliance.
• Support the development of new CVA models.
• Collaborate with the Model Risk team on validations.
• Provide guidance and insights based on experience with risk models and XVA frameworks.

Skills

XVA, CCR or CVA modelling

Proficiency in Python

Familiarity with risk models

Tools

Python

C++

Job description

Job Title: Model Validation Quant (CVA/XVA)

Location: London

Contract Type: Inside IR35

Role Overview: We are seeking a highly skilled Model Validation Quant to join a Model Risk team, with the ability to contribute from day one. The role will focus on validating a backlog of models and supporting the implementation of new CVA models.

Key Responsibilities:

• Validate existing CCR/CVA/XVA models and ensure alignment with risk and regulatory standards.
• Support the development and implementation of new CVA models.
• Collaborate with the Model Risk team to maintain and update the book of model validations.
• Provide guidance and insights based on experience with risk models and XVA frameworks.

Required Experience & Skills:

• Strong experience in XVA, CCR or CVA modelling
• Proficiency in Python (mandatory); C++ is useful but not required.
• Familiarity with risk models, including PFE (simulation/Monte Carlo), XVA (American Monte Carlo), and VAR (historical simulation and pricing).
• Proven track record of working in a similar context; able to contribute immediately.