Equity & Derivatives Model Validator
2 weeks ago
Are you a quantitative expert passionate about financial risk management? Citi's Model Risk Management team in London is seeking a skilled Equity & Hybrids Derivative Model Validator (AVP) to join our esteemed organization.
In this role, you will play a crucial part in ensuring the accuracy and reliability of derivative pricing models used by our Trading and Hedges desks. You'll be responsible for reviewing model assumptions, validating mathematical formulations, and independently implementing business/desk models to effectively challenge existing approaches.
Your Responsibilities:- Oversee the entire lifecycle of models, encompassing validation, ongoing performance evaluation, and annual reviews.
- Collaborate with stakeholders, model developers, and business owners throughout the model development process.
- Critically assess model assumptions, mathematical formulations, and implementations to ensure robustness and accuracy.
- Evaluate and quantify model risk arising from limitations, providing insights to stakeholders and recommending compensating controls.
- Contribute to strategic initiatives within the Model Risk organization.
- A Master's Degree in STEM or a related quantitative field, coupled with a minimum of 2 years of experience in a quantitative role.
- Candidates with higher academic qualifications or certifications (PhD, second master's degree, CPA, or CFA) may be considered with fewer years of experience.
- Prior experience in a quantitative role within risk management at a financial institution, particularly in model development or validation, with a preference for experience in equity derivative product modeling.
- Essential skills include a strong understanding of derivative pricing (Risk-neutral pricing, stochastic calculus, numerical techniques), and proficiency in coding languages such as C++/Python.
- Excellent communication skills, problem-solving abilities, teamwork orientation, and a commitment to delivering high-quality work.
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