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.

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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 restricti...