Quantitative Specialist (CCR & IMM)

At Huxley, we are currently looking for a CCR IMM - Counterparty Credit Risk & Internal Model Method Specialist (+5 years of experience) to join a long-term project within a multinational company that is a leader in the banking sector.

• Lead independent validation of CCR exposure (IMM) and XVA models across derivatives 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 Carlo exposure engines, risk factor simulation/calibration, curve/discounting, and portfolio aggregation.
• Validate netting and collateral (CSA) mechanics (VM/IM where applicable), MPoR, close-out assumptions, and key limitations/use restrictions.
• Develop an...