Job Summary: We are seeking a Senior Model Risk professional to lead the independent validation of CCR (IMM) and XVA exposure models in derivatives and to be responsible for backtesting. Key Highlights: 1. Lead independent validation of CCR (IMM) and XVA models 2. Responsible for IMM backtesting/outcomes analysis 3. Strategic collaboration with various business areas Winning Consulting is looking for a Senior Model Risk professional to join a key project with a client in the wholesale banking sector. Madrid | Hybrid. Responsibilities * Lead independent validation of CCR (IMM) and XVA exposure models in derivatives portfolios, ensuring conceptual soundness, correct implementation, and continuous performance monitoring. * Be responsible for IMM backtesting / outcomes analysis (EPE/EEPE/PFE): methodological design, segmentation, thresholds, exception governance, and root cause investigations. * Conduct effective challenge of key components: Monte Carlo exposure engines, risk factor simulation/calibration, curves/discounting, and portfolio aggregation. * Validate netting and collateral (CSA) mechanics (VM/IM where applicable), MPoR, close-out assumptions, and key limitations/restrictions on use. * Develop and maintain benchmark/challenger testing frameworks and sensitivity/stress analysis to assess stability and reasonableness. * Execute implementation verification and control testing (replication/reconciliation, numerical stability, traceability/data quality, change management). * Prepare and present validation conclusions in MRM / Model Risk Committees, driving remediation plans with model owners and Technology. * Collaborate with Front Office, Market/Credit Risk, Finance, and Technology to resolve findings, improve transparency, and automate monitoring/reporting. * Mentor junior profiles and contribute to standards, best practices, and continuous improvement of the CCR/XVA validation framework. Requirements * Advanced degree (Master/PhD preferred) in a quantitative discipline: Mathematics, Statistics, Physics, Engineering, Computer Science, Quantitative Finance, or similar. * +5 years of experience in model validation, model development, or quantitative risk, with solid exposure to CCR / XVA and IMM frameworks. * Technical expertise in Monte Carlo simulation for exposures, calibration techniques, and derivative pricing dynamics across one or more asset classes (Rates/FX/Credit/Equities/Commodities). * Demonstrable experience leading IMM backtesting/outcomes analysis programs, including exception governance and remediation management. * Strong proficiency in Python. About Winning Consulting At Winning Consulting, we drive our clients’ transformation through consulting, training, recruitment, and research. We apply scientific thinking and proven methodologies to generate sustainable value. More info: www.winning-consulting.com. Xs29Oc1d9P