Model Validation_Pricing Models
Core
Independent validation and challenge of market risk models (counterparty credit risk and XVA) to ensure model safety, soundness, and compliance with regulatory standards.
Role type
Senior individual contributor model validation specialist
Builds
Validated market risk models for counterparty credit risk and XVA across all lines of business
Domain
Banking, Quantitative Finance, Model Risk Management
Deliverable
production ML models
Required skills
Counterparty credit risk modeling, XVA frameworks (CVA/DVA/FVA/KVA), Monte Carlo simulation, Derivative pricing, Regulatory capital modeling (SA-CCR, IMM, Basel III), Stochastic calculus, Python/C++/R, Model lifecycle management
Preferred skills
Regulatory frameworks (FRB SR 11-7, OCC 2011-12), Advanced degree in Quantitative Finance/Mathematics/Physics
Technologies
Python, C++, R, Monte Carlo engines, ISDA SIMM
Responsibilities
Validate exposure models (PFE, EPE, EEPE, EAD) and XVA models; Conduct end-to-end validation including methodology review, calibration, and numerical robustness; Design and execute independent testing, sensitivity analysis, and stress testing; Review underlying pricing models across asset classes; Engage with model development and front office teams to challenge methodologies; Prepare validation reports for senior management and regulators; Contribute to model lifecycle activities including inventory classification and annual reviews
Seniority
Senior, hands-on IC
