XVA Model Validation Quant
Millar Associates
1d ago


  • Review and validation of front office derivative pricing models, focussed on Credit and XVA models.
  • Implementation of benchmark models (C++) and testing scripts
  • Development of alternative models and methodologies in order to assess model risk.
  • Day to day support of stakeholders in all model related questions.
  • Liaise with trading, front office quantitative analysts and developers, and market risk and valuation control analysts, to ensure speedy review and validation of new models and methodologies.
  • Maintain a team for identifying and quantifying model risk. For example, by performing interviews.

  • Experience in XVA (CVA, FVA, MVA, etc) and / or credit modelling (flow, vanilla and structured credit products.
  • Knowledge of stochastic calculus, financial mathematics for derivatives pricing, and associated numerical methods, e.g.
  • Monte Carlo, PDEs and numerical integration.

  • Experience of implementing large projects in C++
  • Sound judgement in assessing the strength and weaknesses of modelling approaches.
  • Strong communication skills and ability to work effectively as part of a Global Team and to liaise with key stakeholders.
  • Fluency in written and spoken English.

  • Strong writing skills with an ability to consistently produce precise, accurate and concise documentation.
  • Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics or physics. A PhD is preferred.
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