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 testing and sensitivity/ stress frameworks to assess model stabil...

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