Credit Risk Consultant

Winning Consulting is looking for a Credit Risk Contultant, to jon a project for one of our multinational client in the banking sector in Madrid. 



Functions: 



+ Lead independent validation CCR exposure (IMM) and XVA models across derivates portfolios, ensuring 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 investigations.



+ Provide effective challenge of key modeling components: Monte Carlos exposure engines, risk factor simulation/ calibration, curve/ discounting, and portfolio aggregation.



+ Validate netting and collateral (CSA) mechanics (VM/ IM where aplicable), MPoR, close- out assumptions, and key limiatations/ use restrictions.



+ Develop and maintain benchmark/ challenger testin...