Senior Quantitative Model Risk Analyst - XVA/CCR Expert

Magnit Global; Greater London; Híbrido; GBP 147.000 - 193.000; Jornada completa

Descripción de la vacante

Global Banking Organisation in London seeks an experienced Quantitative Model Validation specialist to join its Model Risk Management function. You will validate models focusing on PFE, CCR and XVA, while developing challenger models and reviewing mathematical frameworks.

You will collaborate with Front Office Quants and Risk Analytics, perform Monte Carlo testing, and produce detailed validation reports for governance committees.

Formación

• 2 years' experience with XVA or related models.
• Strong understanding of CCR, derivatives pricing and/or PFE modelling.
• Advanced knowledge of mathematical finance, probability, statistics and numerical methods.
• Experience with Monte Carlo simulation and numerical risk modelling.
• Postgraduate qualification in a quantitative discipline.
• Experience in Model Validation or Model Risk Management.
• Knowledge of CVA, DVA, FVA and other XVA methodologies.
• Experience developing models in Front Office or Risk Analytics.
• Programming experience with C++ or C#.
• Familiarity with Basel regulatory capital and CCR frameworks.
• Exposure to AI or ML models.

Responsabilidades

• Perform independent validation of quantitative models focusing on PFE, CCR and XVA.
• Develop challenger models to assess accuracy of existing methodologies.
• Review modelling frameworks, inputs, assumptions and outputs.
• Conduct quantitative testing using Monte Carlo and numerical methods.
• Reproduce model calculations and investigate discrepancies.
• Review pricing and counterparty exposure methodologies across asset classes.
• Assess models against governance standards and regulatory requirements.
• Produce detailed model validation reports with findings and recommendations.
• Engage with Front Office Quants, Risk Analytics and model developers to drive improvements.
• Present validation findings to senior stakeholders and governance committees.

Conocimientos

XVA modelling

PFE modelling

CCR modelling

Monte Carlo methods

CVA modelling

Model validation

Risk analytics

Quantitative risk management

C++/C#

Regulatory capital knowledge

AI/ML exposure

Educación

Postgraduate degree in Mathematics/Financial Engineering/Statistics/Physics

Herramientas

C++

C#

Descripción del empleo

Global Banking Organisation in London seeks an experienced Quantitative Model Validation specialist to join its Model Risk Management function. You will validate models focusing on PFE, CCR and XVA, while developing challenger models and reviewing mathematical frameworks.

You will collaborate with Front Office Quants and Risk Analytics, perform Monte Carlo testing, and produce detailed validation reports for governance committees.