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 IC model validation specialist (counterparty credit risk & XVA)
Builds
Validated exposure models (PFE, EPE, EEPE, EAD), XVA models (CVA, DVA, FVA), and regulatory capital models (SA-CCR, IMM, CVA capital) for the bank's market risk and credit risk functions.
Domain
Banking, Counterparty Credit Risk, Quantitative Finance, Model Risk Management
Deliverable
production ML models
Required skills
Counterparty credit risk concepts, XVA frameworks (CVA/FVA/KVA/MVA), Monte Carlo simulation, Derivative pricing (Rates, Credit, FX, Equities, Commodities), Regulatory frameworks (SA-CCR, IMM, Basel III, ISDA SIMM), Stochastic calculus, Python/C++/R
Preferred skills
Regulatory capital modeling (SA-CCR, IMM, CVA capital), Advanced degree in Quantitative Finance/Mathematics/Physics
Technologies
Python, C++, R, Monte Carlo engines, Hull-White, LMM, SLV
Responsibilities
Independently validate counterparty credit risk and XVA models; Conduct end-to-end validation including methodology review, sensitivity analysis, and backtesting; Engage with model development and front office teams to challenge methodologies; Prepare validation reports for senior management and regulators; Contribute to model lifecycle management including inventory and performance monitoring.
