Senior Quantitative Model Validation Analyst - XVA / CVA (Remote)

About the role

A recruitment partner supporting leading banks and financial institutions across Saudi Arabia and the GCC is looking for experienced Quantitative Pricing / Model Validation professionals with strong exposure to derivative pricing models and XVA / CVA frameworks. The role is fully remote, working on high-impact projects across capital markets and risk functions, and suits technically strong quants who have validated or developed models across one or more asset classes.

Key responsibilities

• Independently validate pricing and risk models across interest rates, FX, equities, commodities, fixed income and non-linear / exotic derivatives
• Review and challenge XVA frameworks including CVA, DVA, FVA and related counterparty credit risk methodologies
• Perform independent benchmarking, sensitivity analysis, stress testing and model performance assessments
• Assess model assumptions, limitations and implementation risks, and review model documentation against regulatory expectations
• Engage with Front Office, Market Risk, Credit Risk and Model Development teams, support regulatory submissions and internal governance, and contribute to model risk framework enhancements

Required profile

• 5+ years' experience in Quantitative Analytics, Model Validation or Model Development within a bank or financial institution
• Strong hands-on exposure to XVA / CVA modelling
• Experience covering at least one of: interest rate, FX, equity, commodity, fixed income or exotic derivatives
• Understanding of stochastic calculus, pricing theory and risk-neutral valuation
• Familiarity with regulatory frameworks such as Basel and SR 11-7 equivalents; knowledge of local GCC regulations is advantageous
• Master's or PhD in Quantitative Finance, Financial Mathematics, Mathematics, Physics, Engineering or a similar quantitative discipline

Required skills

• Programming in Python, C++, MATLAB, R or similar
• Monte Carlo simulation, PDE methods and numerical methods for derivatives pricing
• Counterparty credit risk modelling, exposure simulation frameworks, Greeks and sensitivity analysis
• Writing independent validation reports