Credit Risk Consultant

• Lead independent validation CCR exposure (IMM) and XVA models across derivates portfolios, ensuring conceptual soundness, implementation integrity, and ongoing performance monitoring.
• Own IMM backtesting / outcomes analysis (EPE/ EEPE/ PFE), including methodology design, segmentation, thresholds, exception governance, and root - cause investigations.
• Provide effective challenge of key modeling components: Monte Carlos exposure engines, risk factor simulation/ calibration, curve/ discounting, and portfolio aggregation.
• Validate netting and collateral (CSA) mechanics (VM/ IM where aplicable), MPoR, close- out assumptions, and key limiatations/ use restrictions.
• Develop and maintain benchmark/ challenger testing and sensitivity/ stress frameworks to assess model stability and reasonableness.
• Perform implementation verification and controls testing (replication/ reconciliation, numerical stability, data lineage/ quality, change management).
• Produce and present validaton conclusion.
• Partner with Front Office, Market/ Credit Risk, Finance, and Technology.
• Mentor junior team members.

• Strong technical understanding of Monte Carlos Simulation for exposures, calibration techniques, and derivates pricing dynamics across one or more asset classes (Rates/ FX/ Credit/ Equities/ Commodities).
• Demostrated experience leading IMM backtesting/ outcomes analysis.
• Proficiency in Python (Numpy/ Pandas).
• Strong written and verbal communication skills, with the ability to translate complex quantitative issues into clear risk conclusion.
• Familiarity with supervisory guidance and internal model governance practices (MRM frameworks, audit/regulatory engagement).​​​​​​
• Experience validating or reviewing elements of:
• Margin models and **SIMM/IM** modeling impacts on exposure profiles
• Model risk controls for market data (curves, vol 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.

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