Valuation Models and Market Risk Consultant (h/f)

Valuation Model and Market Risk Consultant

450-500EU PD

Initial 12 month project

Madrid Based

emagine is a high-end professional services consultancy and solutions firm specialising in providing business and technology services to the financial services sector. We power progress, solve challenges, and deliver real results through tailored high-end consulting services and solutions.

We have created a culture of openness and integrity by building genuine and strong relationships and partnerships, enabling us to be uncompromising in our dedication to delivering the optimal service for our clients. Our commitment is not just towards our clients - we aim to foster a positive and equitable working environment with our consultants and colleagues, which stems from our core values: Confident, Dedicated, Responsible, Genuine.

The Senior Consultant will conduct technical and functional reviews of valuation models implemented in the Numerix library, ensuring compliance with regulatory standards (FRTB, FVA/AVA) and facilitating the calculation of MtM, sensitivities, and relevant risk metrics. This role aims to ensure model observability, appropriate levelling, and the preparation of documentation for internal validation and audits.

Main Responsibilities

Core Duties:

• Assess theoretical and practical adequacy of valuation models within the Numerix library.

• Analyze assumptions, limitations, calibrations, and model consistency.

• Identify gaps versus market best practices and regulatory expectations.

• Validate correctness of MtM calculations and sensitivity assessments.

• Analyze the integration of sensitivities into regulatory metrics like FRTB SA, FVA, and AVA.

• Review model outputs for risk factor observability and alignment with internal audit expectations.

• Prepare and review documentation for Internal Model Validation and Internal Audit.

• Ensure traceability between requirements, tests, results, and conclusions.

Key Requirements

• Deep knowledge of financial valuation models.

• Experience with convertible and callable/puttable bonds.

• Strong understanding of interest rate, credit, and Embedded optionality models.

• Hands-on experience with MtM, sensitivities, and FRTB.

• Familiarity with regulatory and validation expectations.

• Strong proficiency in Python.

• Experience reviewing quantitative libraries (Numerix or equivalent).

• Extensive experience documenting methodologies and test results.

• High level of English proficiency (written and spoken).

• Ability to interact across Front Office, market risk, model validation, and audit teams.

• Autonomous profile with strong technical judgement.

• Senior status with experience in complex banking environments and advanced valuation models.

• Experience supporting Internal Model Validation and Internal Audit.

• Further knowledge of emerging regulatory trends in market risk.

Interested?

At emagine, we are committed to building an international and diverse team by embracing our different backgrounds.

If you are up to the challenge and would like to find out more, get in touch with us immediately, our internal recruitment team is always keen to hear from dynamic individuals that are looking to further their career and explore their full potential.

emagine is an equal opportunity employer, and employment practices are based strictly on merit. It is the policy of the Company to give equal opportunity in employment regardless of sex, sexual orientation, marital status, race, age, disability, gender reassignment, pregnancy and maternity, religion or ethnic origin