Job Description
Winning Consulting is looking for a Credit Risk Contultant, to jon a project for one of our multinational client in the banking sector in Madrid.
Por favor, presente su candidatura sin demora si su perfil encaja bien con este puesto, debido al alto nivel de interés.Functions:
- 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.
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