Lead Model Validator - Madrid - Alovia Consulting, S.L

    Alovia Consulting, S.L
    Alovia Consulting, S.L Madrid

    hace 4 días

    Descripción
    ALOVIA Consulting, we are looking for an Lead Model Validator (CCR / XVA / IMM) for one of our clients in the services sector in Spain.

    Lead the independent validation of CCR exposure (IMM) and XVA models across derivatives portfolios, ensuring conceptual soundness, implementation integrity, and robust ongoing performance monitoring.

    Own the IMM backtesting / outcomes analysis framework (EPE/EEPE/PFE), including methodology design, segmentation, threshold setting, exception governance, and root‑cause investigations.

    Provide effective challenge of key modeling components, including Monte Carlo exposure engines, risk‑factor simulation and calibration, curve construction/discounting, and portfolio‑level aggregation.

    Validate netting and collateral (CSA) mechanics (including VM/IM where applicable), MPoR, close‑out assumptions, and key model limitations or use restrictions.

    Develop and maintain benchmark/challenger tests, as well as sensitivity and stress‑testing frameworks to assess model stability and reasonableness.

    Perform implementation verification and controls testing, including replication/reconciliation, numerical stability checks, data lineage and quality assessments, and change‑management reviews.

    Produce and present validation conclusions to MRM governance forums / Model Risk Committees, driving remediation plans with model owners and Technology partners.

    Collaborate with Front Office, Market and Credit Risk, Finance, and Technology to resolve findings, enhance model transparency, and improve automation of monitoring and reporting processes.

    Mentor junior team members and contribute to validation standards, best practices, and continuous improvement of the CCR/XVA validation framework.



    Requisitos

    Advanced degree (Master's or PhD) in a quantitative discipline such as Mathematics, Statistics, Physics, Engineering, Computer Science, or Quantitative Finance.

    5+ years of experience in model validation, model development, or quantitative risk, with strong exposure to CCR / XVA and IMM frameworks.

    Deep technical understanding of Monte Carlo simulation for exposure modeling, calibration techniques, and derivatives pricing dynamics across one or more asset classes (Rates, FX, Credit, Equities, Commodities).

    Demonstrated experience leading IMM backtesting / outcomes analysis, including exception governance and remediation management.

    Proficiency in Python (NumPy, pandas).

    Strong written and verbal communication skills, with the ability to translate complex quantitative issues into clear and actionable risk conclusions.

    Familiarity with supervisory expectations and internal model governance practices (MRM frameworks, audit, regulatory engagement).

    Experience validating or reviewing:

    • Margin models and SIMM/IM impacts on exposure profiles

    • Model‑risk controls for market data (curves, volatility surfaces), CSA digitization, and trade lifecycle integrity

    • XVA desk frameworks and pricing adjustments in front‑office environments

    Experience leading cross‑functional initiatives and mentoring junior staff.



    Ventajas

    Why ALOVIA?

    At ALOVIA, you will join an international team specialized in IT projects and software development. We work across a wide range of sectors, from enterprise solutions and web applications to system integration and cloud services.

    At ALOVIA, we are committed to creating an inclusive and diverse environment, ensuring equal opportunities regardless of race, religion, sex, gender identity, sexual orientation, national origin, disability, age, or any other protected characteristic. We promote gender equality in accordance with Organic Law 3/2007 and value multiculturalism, ensuring that everyone is treated with respect and dignity. We comply with all fair employment practices regarding citizenship and immigration status.

    If you are looking for a challenge in a dynamic and collaborative work environment, and you are passionate about innovation and excellence, we would love to hear from you. You can also send your CV to .


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