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.

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 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)
• Produce and present validaton conclusion
• Partner with Front Office, Market/ Credit Risk, Finance, and Technology
• Mentor junior team members
  
  

Required Qualifications:

• Strong technical understanding of Monte Carlos Simulation for exposures, calibration techniques, and derivates pricing dynamics across one or more asset classes (Rates/ FX/ Credit/ Equities/ Commodities)
• Demostrated experience leading IMM backtesting/ outcomes analysis
• Proficiency in Python (Numpy/ Pandas)
• Strong written and verbal communication skills, with the ability to translate complex quantitative issues into clear risk conclusion
• Familiarity with supervisory guidance and internal model governance practices (MRM frameworks, audit/regulatory engagement).
• Experience validating or reviewing elements of:
• Margin models and **SIMM/IM** modeling impacts on exposure profiles
• Model risk controls for market data (curves, vol surfaces), CSA digitization, and trade lifecycle integrity
• XVA desk frameworks and pricing adjustments in front-office environments
• Experience leading cross-functional initiatives and mentoring junior staff
  
  

Do you want to know more about Winning?

We are a consulting firm offering services in consulting, training, recruitment, and headhunting. We support our clients in finding innovative and sustainable solutions, ranging from applying scientific knowledge to solve complex management challenges to driving digital and technological transformation within organizations.

If you want to learn more about us, visit our website at https://www.winning-consulting.com/

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