Senior Quantitative Model Validation Analyst - XVA / CVA
C
CapitexCapital Markets, Risk Management
United Kingdom. United Arab Emirates. France. Germany. Saudi ArabiaFull-TimeSenior
Salary not disclosed
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Job Details
- Experience
- 5+ years’ experience
- Required Skills
- PythonData AnalysisMatlabC++R
Requirements
- 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: 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 (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
- Technical Skills: PDE methods
- Technical Skills: Numerical methods for derivatives pricing
- Technical Skills: Counterparty credit risk modelling
- Technical Skills: Exposure simulation frameworks
- Technical Skills: Greeks and sensitivities analysis
- Technical Skills: Strong data analysis capability
- Master’s or PhD in Quantitative Finance, Financial Mathematics, Mathematics, Physics, Engineering or similar quantitative discipline
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
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