Senior Quantitative Model Validation Analyst – XVA, CVA

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🕒 March 18

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Capitex

WebsiteLinkedInAll Job Openings

11 - 50 employees

💸 Finance

📋 Compliance

🎯 Recruiter

Finance • Compliance • Recruitment

Capitex is a specialist provider of anti-financial crime staffing and solutions. The company offers both interim and permanent staffing solutions, deploying tactical teams for financial crime compliance resources. With a proven track record in areas such as KYC, AML, fraud, and transaction monitoring, Capitex operates a flexible and scalable resource model to support time-critical projects. Led by Founder and Group CEO Tyler Sullivan, Capitex ensures a reliable and cost-efficient solution for clients through its experienced team. Based in London and Dubai, the company provides a full turn-key solution including outsourcing processes like staff deployment, training, and logistical support.

📋 Description

• Independently validate pricing and risk models across one or more asset classes: • - Interest Rates • - FX • - Equities • - Commodities • - Fixed Income • - Non-linear / Exotic Derivatives • Review and challenge XVA frameworks including CVA, DVA, FVA, and related counterparty credit risk methodologies • Perform independent benchmarking, sensitivity analysis, stress testing and model performance assessments • Assess model assumptions, limitations, and implementation risks • Review model documentation and ensure alignment with regulatory expectations • Engage with Front Office, Market Risk, Credit Risk and Model Development teams • Support regulatory submissions and internal governance processes • Contribute to model risk framework enhancements

🎯 Requirements

• 5+ years’ experience in Quantitative Analytics, Model Validation or Model Development within a bank or financial institution • Strong hands-on exposure to **XVA / CVA modelling** • Experience covering at least one of the following asset classes: • - Interest Rate Derivatives • - FX Derivatives • - Equity Derivatives • - Commodities • - Fixed Income • - Non-linear / Exotic products • - Strong understanding of stochastic calculus, pricing theory and risk-neutral valuation • - Familiarity with regulatory frameworks impacting model validation (Basel, SR 11-7 equivalent frameworks, local GCC regulations advantageous) • - Strong programming skills (Python, C++, MATLAB, R or similar) • - Experience reviewing model documentation and conducting independent validation reports • Technical Skills • - Monte Carlo simulation • - PDE methods • - Numerical methods for derivatives pricing • - Counterparty credit risk modelling • - Exposure simulation frameworks • - Greeks and sensitivities analysis • - Strong data analysis capability