Equity & Hybrids Derivative Model Validator AVP
6 days ago
We are seeking a highly skilled Equity & Hybrids Derivative Model Validator AVP to join our team at Citibank, N.A. United Kingdom. As a key member of our Model Risk Management team, you will be responsible for validating the pricing models used by our trading and hedging teams.
Key Responsibilities- Manage model risk across the model lifecycle, including model validation, ongoing performance evaluation, and annual model reviews.
- Interact with model developers and business owners to ensure that models are accurate and reliable.
- 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.
- Master's Degree or equivalent in a quantitative field, such as mathematics, statistics, financial engineering, or quantitative finance.
- 2+ years of quantitative experience, with a strong background in derivative pricing and risk management.
- Experience in a quantitative role in risk management at a financial institution, with a focus on model development or validation.
- Strong derivative pricing skills, including risk-neutral pricing, stochastic calculus, and numerical techniques.
- Strong communication and teamwork skills, with the ability to find practical solutions to challenging problems.
We offer a competitive base salary, annual performance-related bonus, and a range of benefits, including private medical insurance, employee assistance program, and pension plan. We are committed to creating a diverse and inclusive workplace, where everyone feels comfortable coming to work as their whole self.
About UsCitibank, N.A. United Kingdom is a leading global financial institution, committed to serving our clients and communities with integrity and excellence. We are proud to be an equal opportunity and affirmative action employer, and we welcome applications from qualified candidates from diverse backgrounds.
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