Senior Quantitative Model Validation Analyst - XVA / CVA (Remote)
United Kingdom - Remote
R
GBP 72K-80K (estimate) Senior-level Contract Full Time
Tasks
- Assess model assumptions
- Assess model limitations
- Benchmark model results
- Conduct independent validation reports
- Coordinate with credit risk
- Coordinate with front office
- Coordinate with market risk
- Coordinate with model development
- Enhance model risk frameworks
- Perform stress testing
- Review XVA frameworks
- Review model documentation
- Run sensitivity analysis
- Support regulatory submissions
- Validate pricing models
- Validate risk models
Perks/Benefits
Skills/Tech-stack
C++ | CVA | Counterparty Credit | Counterparty Credit Risk | Credit Risk | DVA | Exposure simulation | FVA | Greeks | MATLAB | Monte Carlo | Monte Carlo Simulation | Numerical Methods | PDE methods | Python | R | Risk-neutral valuation | Sensitivity Analysis | Stochastic Calculus | Stress Testing | XVA
Education
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