Job Information:
Date Opened

01/27/2026

Job Type

Permanent

Industry

Financial Services

Work Experience

4-5 years

City

Madrid

State/Province

Madrid

Country

Spain

Zip/Postal Code

28001

ALOVIA Consulting, we are looking for an Lead Model Validator (CCR / XVA / IMM) for one of our clients in the services sector in Spain.
- Lead the independent validation of CCR exposure (IMM) and XVA models across derivatives portfolios, ensuring conceptual soundness, implementation integrity, and robust ongoing performance monitoring.
- Own the IMM backtesting / outcomes analysis framework (EPE/EEPE/PFE), including methodology design, segmentation, threshold setting, exception governance, and root‑cause investigations.
- Provide effective challenge of key modeling components, including Monte Carlo exposure engines, risk‑factor simulation and calibration, curve construction/discounting, and portfolio‑level aggregation.
- Validate netting and collateral (CSA) mechanics (including VM/IM where applicable), MPoR, close‑out assumptions,



and key model limitations or use restrictions.
- Develop and maintain benchmark/challenger tests, as well as sensitivity and stress‑testing frameworks to assess model stability and reasonableness.
- Perform implementation verification and controls testing, including replication/reconciliation, numerical stability checks, data lineage and quality assessments, and change‑management reviews.
- Produce and present validation conclusions to MRM governance forums / Model Risk Committees, driving remediation plans with model owners and Technology partners.
- Collaborate with Front Office, Market and Credit Risk, Finance, and Technology to resolve findings, enhance model transparency, and improve automation of monitoring and reporting processes.
- Mentor junior team members and contribute to validation standards, best practices, and continuous improvement of the CCR/XVA validation framework.

Requirements:
- Advanced degree (Master’s or PhD) in a quan

📌 Lead Model Validator (Madrid)
🏢 Alovia Consulting
📍 Madrid