Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills and or experience in either model development or validation to Citi’s Model Risk Management team that focus on validation of Equity & Hybrids derivative pricing models for Trading and Hedges.
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.
Role Overview
This position will be responsible for validating and model risk management of Equity & Hybrids derivative pricing models for Trading and Hedges. This position requires strong derivative pricing skills along with relevant industry experience. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls.
What you’ll do?
Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
Provide guidance to junior validators as and when necessary.
Manage stakeholder interaction with model developers and business owners during the model lifecycle.
Represent the bank in interactions with regulatory agencies, as required.
Present model validation findings to senior management and supervisory authorities.
Provide effective challenge to model assumptions, mathematical formulation, and implementation.
Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
Contribute to strategic, cross-functional initiatives within the model risk organization.
What we’ll need from you?
Degree in a quantitative field (physics, mathematics, computer science, financial engineering, etc.) with relevant experience required.
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.
Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally experience in modelling of equity derivative products.
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.
Team work and commitment a must.
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 resources
Alongside 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.
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Job Family Group:
Risk Management------------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation------------------------------------------------------
Time Type:
Full time------------------------------------------------------
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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.
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