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.