Senior Quantitative Model Validation Analyst - XVA / CVA (Remote)

Capitex; Bahrain; Remote; SAR 262,467 - 337,457; Full time

Job summary

A leading financial services firm is seeking experienced Quantitative Pricing / Model Validation professionals for a fully remote role based in Saudi Arabia. Ideal candidates will have over 5 years of experience in validating pricing models and strong knowledge of derivatives across various asset classes. Responsibilities include validating models, engaging with different teams, and contributing to model risk frameworks for high-impact projects across capital markets.

Qualifications

• 5+ years’ experience in Quantitative Analytics, Model Validation or Model Development.
• Strong hands‑on exposure to XVA / CVA modelling.
• Experience with Interest Rate Derivatives, FX Derivatives, Equity Derivatives.
• Strong understanding of stochastic calculus and pricing theory.

Responsibilities

• Validate pricing and risk models across multiple asset classes.
• Review and challenge XVA frameworks including CVA, DVA, FVA.
• Perform benchmarking, sensitivity analysis, and stress testing.
• Engage with various teams for model validation.

Skills

Monte Carlo simulation

PDE methods

Numerical methods for derivatives pricing

Counterparty credit risk modelling

Strong data analysis capability

Education

Master’s or PhD in Quantitative Finance

Tools

Python

C++

MATLAB

R

Job description

About the Role

We are supporting leading banks and financial institutions across Saudi Arabia and the GCC who are strengthening their quantitative risk and model validation capabilities. We are seeking experienced Quantitative Pricing / Model Validation professionals with strong exposure to derivative pricing models and XVA / CVA frameworks. This role is fully remote, working on high‑impact projects across capital markets and risk functions. This opportunity is ideal for technically strong quants who have validated or developed models across one or more key asset classes and want exposure to complex regional banking environments.

Key Responsibilities

Independently validate pricing and risk models across one or more asset classes: Interest Rates FX Equities Commodities Fixed Income Non‑linear / Exotic Derivatives. Review and challenge XVA frameworks including CVA, DVA, FVA, and related counterparty credit risk methodologies. Perform independent benchmarking, sensitivity analysis, stress testing and model performance assessments. Assess model assumptions, limitations, and implementation risks. Review model documentation and ensure alignment with regulatory expectations. Engage with Front Office, Market Risk, Credit Risk and Model Development teams. Support regulatory submissions and internal governance processes. Contribute to model risk framework enhancements.

Required Experience

5+ years’ experience in Quantitative Analytics, Model Validation or Model Development within a bank or financial institution. Strong hands‑on exposure to XVA / CVA modelling. Experience covering at least one of the following asset classes: Interest Rate Derivatives, FX Derivatives, Equity Derivatives, Commodities, Fixed Income, Non‑linear / Exotic products. Strong understanding of stochastic calculus, pricing theory and risk‑neutral valuation. Familiarity with regulatory frameworks impacting model validation (Basel, SR 11‑7 equivalent frameworks, local GCC regulations advantageous). Strong programming skills (Python, C++, MATLAB, R or similar). Experience reviewing model documentation and conducting independent validation reports.

Technical Skills

Monte Carlo simulation, PDE methods, Numerical methods for derivatives pricing, Counterparty credit risk modelling, Exposure simulation frameworks, Greeks and sensitivities analysis. Strong data analysis capability.

Education

Master’s or PhD in Quantitative Finance, Financial Mathematics, Mathematics, Physics, Engineering or similar quantitative discipline.