Model Validator
Bekijk en reageer bij IQ Staffing (externe link)
Model Validator (XVA) for a leading financial institution in Amsterdam, hybrid, 36 hours/week, starting 3 August 2026.
- Locatie
- Amsterdam
- Werkvorm
- hybride
- Uren
- 36 uur per week
- Contractvorm
- detachering
- Startdatum
- Sluitingsdatum
- Gepubliceerd
- Opdrachtgever
- ING Bank N.V.
Eisen
- Strong quantitative background in financial mathematics, stochastic calculus, statistics, econometrics or a related discipline.
- Strong communication skills, with the ability to explain complex quantitative analyses to senior stakeholders.
- Strong understanding of Trading Book financial risk models.
- Deep expertise in XVA and the valuation of financial derivatives.
- Proven ability to challenge first line of defence decisions.
- Knowledge of valuation adjustment regulation, including Additional Valuation Adjustments (AVA).
- Experience within a highly regulated environment with strong governance and documentation standards.
- Knowledge of AI applications within quantitative modelling and validation, including prompting, agentic workflows and AI risk management.
- Hands-on experience with quantitative modelling in Python, including libraries such as pandas/polars, NumPy, QuantLib and/or ORE.
Omschrijving
Model Validator (XVA) assignment for a leading financial institution in Amsterdam. This is a senior and highly specialised role within the Model Validation Financial Risk department of the global Model Risk Management function. The role involves leading independent validation of complex XVA models, prudent valuation, fair valuation methodologies and valuation adjustment frameworks within the Trading Book. The validator will own end-to-end validation projects, challenge model developers and model owners, and ensure compliance with internal model risk policies and regulatory expectations including ECB/JST requirements. Responsibilities include: leading end-to-end validation of XVA models; validating prudent valuation, fair valuation and out-of-scope methodologies; preparing high-quality validation reports; challenging model developers; advising stakeholders on model risk materiality; coaching junior validators; supporting innovation including automation and AI-enabled techniques; and ensuring compliance with Model Risk Policy. The assignment requires deep expertise in XVA and financial derivatives valuation, strong understanding of Trading Book risk models, a strong quantitative background in financial mathematics or related discipline, experience in a regulated environment, knowledge of valuation adjustment regulation (including AVA), proven ability to challenge first line decisions, strong communication skills, hands-on Python modelling experience (pandas, NumPy, QuantLib, ORE), and knowledge of AI applications in quantitative modelling. Project focus includes XVA out-of-scope methodologies and prudent/valuation adjustments, XVA modelling for commodities (Gibson-Schwartz model), fair and prudent valuation methodologies for IR and FX skew models, Collateral Valuation Adjustment models, general XVA modelling topics including Accounting CVA vs FRTB CVA, and identification of modelling gaps. Start date 3 August 2026, duration until 31 December 2026 with possible extension. Hours per week: 36. Working model: Hybrid. Secondment contract (detachering) with monthly salary range EUR 9,000 – EUR 10,500 gross.
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