Equity & Hybrids Derivative Model Validator AVP

4 days ago

London, Greater London, United Kingdom 11037 Citibank, N.A. United Kingdom Full time
Derivatives Model Risk Management Specialist

Citi is seeking a highly skilled Derivatives Model Risk Management Specialist to join our Model Risk Management team in London. As a key member of the 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.
  • Manage stakeholder interaction with model developers and business owners during the model lifecycle.
  • 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.

Requirements:

  • Master's degree or equivalent in a quantitative field, such as mathematics, statistics, or financial engineering, with 2+ years of quantitative experience.
  • 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.
  • Some experience in a quantitative role in risk management at a financial institution, with experience in either model development or validation, ideally experience in modeling of equity derivative products.
  • Strong derivative pricing skills, including risk-neutral pricing, stochastic calculus, numerical techniques, and coding in C++/Python.
  • Strong communication skills, with the ability to find practical solutions to challenging problems.
  • Teamwork and commitment are essential.

What We Offer:

  • A competitive base salary, annually reviewed.
  • A discretionary 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.

Citi 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.

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