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Risk - Derivatives Pricing Models Validator - AVP
3 months ago
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 reviewsProvide challenge to pricing models assumptions, mathematical formulation, and implementation to assess their accuracy and robustness, using mathematical tools and techniquesImplement variety of tests aimed to examine model's behaviour under different scenarios and market conditionsCollaborate with senior personnel in delivering high-quality validation reports, highlighting risks and limitations of the model and quantifying model riskManage stakeholder interaction with model developers and business owners during the model lifecycleBe present to assist in bank interactions with regulatory agencies, as required
What well need from you:
Minimum of Master's Degree in a Quantitative field (Physics, Mathematics, Engineering or similar) and relevant experience is mandatoryFewer 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 essentialSelf-motivated and detail orientedDemonstrated 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 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.
Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.
