We are looking for a seasoned professional to take on a key role in model validation within capital markets. This position focuses on the independent assessment of pricing and risk models, with a strong emphasis on XVA and CVA frameworks. The role is fully remote, offering flexibility while engaging with leading banks across Saudi Arabia and the Gulf Cooperation Council region.
Key Responsibilities
- Conduct independent validation of quantitative models for pricing and risk across asset classes including interest rates, foreign exchange, equities, fixed income, commodities, and exotic derivatives
- Evaluate XVA components such as CVA, DVA, and FVA, along with associated counterparty credit risk methodologies
- Perform benchmarking, sensitivity testing, stress testing, and performance evaluations to verify model robustness
- Scrutinize model assumptions, theoretical foundations, and implementation approaches for potential weaknesses
- Ensure model documentation meets regulatory standards and supports transparent governance
- Collaborate with front office, market risk, credit risk, and quantitative development teams to clarify model behavior and assumptions
- Support regulatory filings and internal model approval processes
- Help refine and strengthen the overall model risk management framework
Qualifications
Applicants should bring a solid background in quantitative finance with hands-on experience in validating or building derivative pricing models. Strong technical skills and familiarity with XVA/CVA frameworks are essential. Prior work in model validation, risk management, or quantitative development within a banking environment is highly preferred. Demonstrated ability to critically assess complex models across multiple asset classes is required.
