Risk – Derivatives Pricing Models Validator – AVP

Job title:

Risk – Derivatives Pricing Models Validator – AVP

Company

Citigroup

Job description

This position will support Model Risk Management for Foreign Exchange (FX ) and FX / Interest Rates (IR) Hybrid Pricing Derivatives models. Primary responsibilities will be to validate and model risk manage Derivative Pricing models for Trading and Hedges. This position requires a sound background in stochastic calculus, probability theory & numerical methods and good Python skills will be a distinct advantage. The validation role aims to ensure effective challenge to the model development process, which includes but not limited to reviewing model assumptions, ensuring the mathematical formulation is correct and fully defined, independently implementing the business/desk model when needed, assesses developer testing & ensure gaps are remediated via independent test scripts, and assess & quantify model limitations.By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.What you’ll do:

• Manage model risk across the model lifecycle including model validation, ongoing monitoring, and annual reviews
• Provide challenge to pricing models assumptions, mathematical formulation, and implementation to assess their accuracy and robustness, using mathematical tools and techniques
• Implement variety of tests aimed to examine model’s behaviour under different scenarios and market conditions
• Collaborate with senior personnel in delivering high-quality validation reports, highlighting risks and limitations of the model and quantifying model risk
• Manage stakeholder interaction with model developers and business owners during the model lifecycle
• Be present to assist in bank interactions with regulatory agencies, as required

What we’ll need from you:

• Minimum of Master’s Degree in a Quantitative field (Physics, Mathematics, Engineering or similar) and relevant experience is mandatory
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second master’s degree, CPA, or CFA
• Ideally experience in modelling of FX Derivative products, though Rates, Equity and Commodity Derivatives experience will be considered.
• Strong Derivative Pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python)
• Strong communication skills with the ability to find practical solutions to challenging problems
• Teamwork and commitment is essential
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

What we can offer you:We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:· Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure· A discretional annual performance related bonus· Private medical insurance packages to suit your personal circumstances· Employee Assistance Programme· Pension Plan· Paid Parental Leave· Special discounts for employees, family, and friends· Access to an array of learning and development resourcesAlongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energised to join us, motivated to stay, and empowered to thrive.Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.#LI-TM3Job Family Group: Risk ManagementJob Family: Risk Analytics, Modeling, and ValidationTime Type: Full timeCiti is an equal opportunity and affirmative action employer.Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.Citigroup Inc. and its subsidiaries (“Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .View the ” ” poster. View the .View the .View the

Expected salary

Location

London

Job date

Sat, 01 Jun 2024 06:38:38 GMT

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