Counterparty Risk Model Validator - Senior Manager

JR United Kingdom; City Of London; On-site; GBP 80,000 - 120,000; Full time

Job summary

A leading company in the financial sector is seeking a Senior Manager for Counterparty Risk Model Validation. You will be responsible for validating models used in risk management, with a focus on counterparty credit exposure and XVA models. This role involves strong stakeholder interaction, model governance participation, and adherence to regulatory standards. Ideal candidates will have advanced degrees in quantitative fields and extensive experience in risk model validation.

Qualifications

• Extensive experience validating counterparty risk models (PFE and XVA).
• Knowledge of regulatory standards (Basel III, SACCR, CCR, XVA risk management).
• Proficiency in coding and quantitative analysis methods.

Responsibilities

• Validate counterparty credit exposure and XVA models.
• Document validation testing and findings, communicate with stakeholders.
• Conduct validations with minimal supervision, adhering to regulatory standards.

Skills

Expertise in quantitative methods

Strong communication skills

Ability to work independently

Education

Masters or PhD in a quantitative field

Tools

C++

Excel

Adaptiv Analytics

Murex

Job description

Social network you want to login/join with:

Counterparty Risk Model Validator - Senior Manager, London (City of London)

Client:

Morgan McKinley

Location:

London (City of London), United Kingdom

Job Category:

Other

EU work permit required:

Yes

Job Views:

7

Posted:

26.06.2025

Expiry Date:

10.08.2025

Job Description:

The successful candidate will report to the Head of Model Validation. The role's purpose is to act as the second line of defense on Model Risk and validate models used in the Bank. Responsibilities include performing model validation and review for pricing and risk models, focusing on counterparty credit exposure and XVA models.

Key responsibilities:

• Validate counterparty credit exposure and XVA models, including risk factor simulation models, backtesting, and model calibration.
• Implement benchmark models independently, covering product-specific features such as CSAs and netting.
• Assess models from mathematical and implementation perspectives, reviewing their applicability, strengths, weaknesses, assumptions, and limitations.
• Document validation testing and findings, and communicate with stakeholders including front office, risk, regulators, and auditors.
• Conduct validations with minimal supervision, adhering to regulatory standards.
• Participate in model governance, technical committees, and risk management processes.

Key interfaces include establishing strong relationships with stakeholders in front office, finance, and risk functions, providing timely responses and maintaining review schedules.

Preferred Qualifications and Experience:

• Masters or PhD in a quantitative field.
• Expertise in quantitative methods such as financial mathematics, stochastic processes, and Monte Carlo simulation.
• Extensive experience validating counterparty risk models (PFE and XVA).
• Knowledge of regulatory standards, Basel III, SACCR, CCR, and XVA risk management.
• Proficiency in coding (preferably C++) and Excel; experience with Adaptiv Analytics and Murex is beneficial.
• Strong communication skills and ability to work independently.