Model Validation_Counterparty Credit Risk
Core
Independent validation and challenge of counterparty credit risk and XVA models to ensure model safety, soundness, and regulatory compliance.
Role type
Senior individual contributor model validation specialist (counterparty credit risk & XVA)
Builds
Validated exposure models, XVA models, and regulatory capital models for the bank's market risk function
Domain
Banking, Counterparty Credit Risk, XVA, Regulatory Capital
Deliverable
production ML models
Required skills
Counterparty credit risk concepts, XVA frameworks (CVA/DVA/FVA), Monte Carlo simulation, derivative pricing, stochastic calculus, regulatory frameworks (Basel III, SA-CCR, IMM), Python/C++/R programming
Preferred skills
Regulatory capital modeling (SA-CCR, IMM, BA-CVA), familiarity with Americas Model Risk Management Policies, experience in model development or front-office quant roles
Technologies
Python, C++, R, Monte Carlo engines, ISDA SIMM
Responsibilities
Validate exposure models (PFE, EPE, EEPE, EAD, CSA, MPoR), validate XVA models (CVA, DVA, FVA) including calibration and Greeks, conduct end-to-end validation including stress testing and backtesting, review underlying pricing models across asset classes, support compliance with regulatory standards, engage with model development and front office teams, prepare validation reports for management and regulators
Seniority
Mid-to-Senior, hands-on IC
