Credit Risk Consultant

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.
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.
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).
Partner with Front Office, Market/ Credit Risk, Finan...