Counterparty Risk Model Validator - Senior Manager

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

Job summary

A financial institution based in London seeks a Senior Manager for Counterparty Risk Model Validation. This pivotal role involves validating complex risk models, engaging with stakeholders, and ensuring model governance aligns with regulatory expectations. Candidates should hold advanced degrees and possess substantial experience in counterparty risk validation and financial mathematics.

Qualifications

• Extensive experience validating counterparty risk models (PFE and XVA).
• Good understanding of Basel III, SACCR, CCR, and XVA risk management.
• Ability to work independently.

Responsibilities

• Validate counterparty credit exposure and XVA models, including risk factor simulation models.
• Document validation testing and communicate with stakeholders.
• Participate in model governance and risk management processes.

Skills

Advanced knowledge of financial mathematics

Stochastic processes

Monte Carlo simulation

Strong written and verbal communication skills

Education

Masters or PhD in a quantitative field

Tools

C++

Excel

Adaptiv Analytics

Murex

Job description

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Counterparty Risk Model Validator - Senior Manager, London

Client:

Morgan McKinley

Location:

London, United Kingdom

Job Category:

Other

EU work permit required:

Yes

Job Views:

8

Posted:

28.06.2025

Expiry Date:

12.08.2025

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 defence 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 calibration.
• Implement benchmark models independently, covering product-specific features such as CSAs and netting. Validate models mathematically and in implementation, reviewing their applicability, strengths, weaknesses, assumptions, and limitations.
• Document validation testing and findings to high standards; communicate with stakeholders, including front office, risk, regulators, and auditors.
• Conduct validations with minimal supervision, aligned with regulatory expectations.
• Participate in model governance, technical committees, and risk management processes, including ongoing validation and monitoring.

Key interfaces include establishing strong relationships with stakeholders in front office, finance, and risk functions, providing timely responses and maintaining long-term objectives.

Preferred Qualifications and Experience:

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