Lead Model Validator (CCR / XVA / IMM)

ALOVIA Consulting , we are looking for an Lead Model Validator (CCR / XVA / IMM) for one of our clients in the services sector in Spain.

Responsibilities

• Lead the independent validation of CCR exposure (IMM) and XVA models across derivatives portfolios, ensuring conceptual soundness, implementation integrity, and robust ongoing performance monitoring.

• Own the IMM backtesting / outcomes analysis framework (EPE/EEPE/PFE), including methodology design, segmentation, threshold setting, exception governance, and root‑cause investigations.

• Provide effective challenge of key modeling components, including Monte Carlo exposure engines , risk‑factor simulation and calibration, curve construction/discounting, and portfolio‑level aggregation.

• Validate netting and collateral (CSA) mechanics (including VM/IM where applicable), MPoR , close‑out assumptio...