Model Validator V

36 uur Detachering
Amsterdam
30 juni 2026
€6300 - €9200
Solliciteren kan tot: 5 juli 2026
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Functieomschrijving

Role

We are looking for an experienced Model Validator to act as Lead/Senior Validator for Trading Book financial risk models, with a focus on XVA, derivatives valuation, prudent and fair valuation methodologies, and complex valuation adjustments.

What you’ll do

  • Perform end-to-end validation of Trading Book financial risk models, with a strong focus on XVA.
  • Act as Lead/Senior Validator through the full validation lifecycle (planning to completion).
  • Execute risk-based model validations aligned with the Model Risk Management Framework.
  • Prepare and defend high-quality validation reports for model approval committees and senior stakeholders.
  • Advise on model risk materiality, prioritisation and remediation strategies.
  • Contribute to innovation in Model Validation, including automation and AI-enabled validation techniques.
  • Coach junior validators and provide guidance on ways of working.
  • Build and maintain strong relationships with model developers, risk managers and other stakeholders.

Hard requirements

  • Demonstrable expertise in XVA and the valuation of financial derivatives.
  • Proven experience with Trading Book financial risk models.
  • Strong quantitative background (Financial Mathematics, Stochastic Calculus, Statistics, Econometrics or related discipline).
  • Experience working in a highly regulated environment with strict governance and documentation standards.
  • Knowledge of the regulatory framework surrounding Valuation Adjustments, including Additional Valuation Adjustments (AVA).
  • Experience challenging first line of defence decisions.
  • Hands-on experience with quantitative modelling in Python, including pandas/polars, NumPy, QuantLib and ORE.
  • Knowledge of AI applications, including prompting, agentic workflows and managing AI-related risks.

Projects / Scope of work

  • Validation of XVA out-of-scope methodologies, including Prudent Valuation and Valuation Adjustments.
  • Validation of Commodity XVA models, including the Gibson‑Schwartz model and commodity product pricing.
  • Validation of fair and prudent valuation methodologies for IR and FX skew models within XVA.
  • Validation of Collateral Valuation Adjustment (ColVA) models.
  • Advising on broader XVA topics, including the relationship between Accounting CVA and FRTB CVA, identification of modelling gaps, and assessment of model risk implications.

Je sollicitatie dient uiterlijk 5 juli 2026 om 14:00 uur door ons te zijn ingediend, voorzien van een motivatie (waarin wordt toegelicht hoe aan de eisen en gunningscriteria wordt voldaan) en twee referenties. Wij ontvangen je gegevens graag minimaal één werkdag vóór de sluitingsdatum.

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