Risk Model Validation Associate – Counterparty Credit Risk – Banking/Financial Services

Role Overview:

We are looking for an experienced Risk Model Validation Associate to support the independent validation of complex risk models within a global financial institution. The role will focus on assessing the conceptual soundness, performance, accuracy, and robustness of quantitative models used for Counterparty Credit Risk (CCR), exposure simulation, and CVA/XVA, while ensuring alignment with applicable regulatory expectations.

Key Responsibilities:

– Perform independent validation of Counterparty Credit Risk (CCR) and related quantitative risk models.

– Assess model methodologies, assumptions, limitations, implementation approaches, and applicability to the intended risk use cases.

– Review and validate Monte Carlo exposure simulation methodologies and calculations.

– Support validation of CVA/XVA pricing and risk models across relevant financial products.

– Apply stochastic calculus, numerical methods, statistics, and quantitative techniques to model validation and analysis.

– Perform quantitative testing, benchmarking, sensitivity analysis, back-testing, and stress testing of risk models.

– Analyze model performance, identify weaknesses and limitations, and recommend appropriate remediation.

– Review model documentation, technical specifications, methodology papers, and implementation details.

– Assess model inputs, data quality, calibration approaches, and parameter assumptions.

– Develop validation tools, analytical frameworks, and test scripts using Python, R, VBA, or equivalent technologies.

– Collaborate with Model Risk, Market Risk, Counterparty Credit Risk, Front Office Quant, Technology, and other control functions.

– Support preparation of model validation reports, findings, observations, and remediation recommendations.

– Ensure model validation activities are aligned with relevant regulatory frameworks and internal model risk governance standards.

– Contribute to continuous improvement of model validation methodologies, quantitative testing frameworks, and risk analytics.

Requirements:

– 3 – 5 years of experience in quantitative finance, model validation, model risk management, counterparty credit risk, derivatives modelling, or a related area.

– Strong understanding of Counterparty Credit Risk (CCR) and exposure modelling concepts.

– Hands-on experience or strong working knowledge of Monte Carlo exposure simulation and CVA/XVA.

– Good understanding of stochastic calculus and numerical techniques used in financial modelling and derivatives pricing.

– Strong quantitative and analytical skills, including probability, statistics, numerical methods, and financial mathematics.

– Hands-on programming experience in Python, R, and/or VBA.

– Good knowledge of financial markets and derivative products, particularly interest-rate and other OTC derivatives.

– Understanding of model validation concepts including benchmarking, sensitivity analysis, back-testing, stress testing, and model limitations.

– Familiarity with regulatory expectations such as Basel III, CRD IV, and PRA Supervisory Statement SS1/23.

– Strong documentation, analytical reasoning, and problem-solving skills.

– Ability to challenge model assumptions constructively and communicate quantitative findings clearly.

– Strong collaboration skills and ability to work effectively with global stakeholders.

Good to Have:

– Exposure to AI/ML techniques applied to risk modelling, model validation, or financial analytics.

– Experience with XVA analytics, collateral modelling, wrong-way risk, or exposure profiles.

– Familiarity with model risk management frameworks within global banks or financial institutions.

– Master’s degree or advanced qualification in Quantitative Finance, Financial Engineering, Mathematics, Statistics, Physics, or a related discipline.