About the Role

We are supporting leading banks and financial institutions across Saudi Arabia and the GCC who are strengthening their quantitative risk and model validation capabilities.

We are seeking experienced Quantitative Pricing / Model Validation professionals with strong exposure to derivative pricing models and XVA / CVA frameworks. This role is fully remote, working on high-impact projects across capital markets and risk functions.

This opportunity is ideal for technically strong quants who have validated or developed models across one or more key asset classes and want exposure to complex regional banking environments.

Key Responsibilities

Independently validate pricing and risk models across one or more asset classes:

Interest Rates
FX
Equities
Commodities
Fixed Income
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
Review model documentation and ensure alignment with regulatory expectations
Engage with Front Office, Market Risk, Credit Risk and Model Development teams
Support regulatory submissions and internal governance processes
Contribute to model risk framework enhancements

Requirements

Required Experience

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 the following asset classes:

Interest Rate Derivatives
FX Derivatives
Equity Derivatives
Commodities
Fixed Income
Non-linear / Exotic products

Strong understanding of stochastic calculus, pricing theory and risk-neutral valuation
Familiarity with regulatory frameworks impacting model validation (Basel, SR 11-7 equivalent frameworks, local GCC regulations advantageous)
Strong programming skills (Python, C++, MATLAB, R or similar)
Experience reviewing model documentation and conducting independent validation reports

Technical Skills

Monte Carlo simulation
PDE methods
Numerical methods for derivatives pricing
Counterparty credit risk modelling
Exposure simulation frameworks
Greeks and sensitivities analysis
Strong data analysis capability

Education

Master’s or PhD in Quantitative Finance, Financial Mathematics, Mathematics, Physics, Engineering or similar quantitative discipline

Originally posted on Himalayas

Senior Quantitative Model Validation Analyst - XVA / CVA at Capitex