CCR / XVA Model Validation Lead (IMM)

We are part of hiberus - one of the leading technology companies in Spain with a presence in over 14 countries, employing over 3,000 specialists and serving Clients all over the world. We are professionals who have many years of experience in areas such as IT, BI, project and enterprise management. We currently cooperate with prestigious institutions in the areas of banking, finance, insurance, pharmacy, health care and tourism, both in Poland and abroad. Partnership, reliability and transparency - these are the values that guide us in all our activities.

• Advanced degree (Master’s or PhD preferred) in a quantitative discipline such as mathematics, statistics, physics, engineering, computer science, or quantitative finance
• Minimum 5 years of experience in model validation, model development, or quantitative risk
• Strong knowledge of CCR / XVA and IMM frameworks
• Advanced understanding of Monte Carlo simulation, calibration techniques, and derivatives pricing (Rates / FX / Credit / Equities / Commodities)
• Experience leading IMM backtesting / outcomes analysis
• Proficiency in Python (NumPy, pandas)
• Ability to clearly communicate complex quantitative topics

Nice to have:

• Familiarity with supervisory guidance and Model Risk Management (MRM) frameworks
• Experience with margin models, SIMM / IM
• Experience with market data risk controls (curves, volatility surfaces)
• Experience with XVA desk frameworks in front-office environments
• Experience in leadership roles and mentoring

• Lead independent validation of CCR (IMM) and XVA models, covering 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 analysis
• Provide effective challenge of key modeling components:
  • Monte Carlo exposure engines
  • risk factor simulation and calibration
  • curve construction, discounting, and portfolio aggregation
• Validate netting and collateral (CSA) mechanics (VM/IM where applicable), MPoR, close-out assumptions, and model limitations
• Develop and maintain benchmark / challenger models, sensitivity and stress-testing frameworks
• Perform implementation verification and controls testing (replication, reconciliation, numerical stability, data lineage/quality, change management)
• Present validation conclusions to MRM governance forums / Model Risk Committees and drive remediation plans with model owners and Technology
• Partner with Front Office, Market & Credit Risk, Finance, and Technology teams
• Mentor junior team members and contribute to CCR/XVA validation standards and best practices