Derivative Pricing Model Validator
5 days ago
We are seeking a highly skilled Equity & Hybrids Derivative Model Validator to join our team at Citi, a global financial institution. 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 and inform stakeholders of their risk profile.
- Contribute to strategic, cross-functional initiatives within the model risk organization.
- Master's Degree or equivalent in a quantitative field, such as mathematics, statistics, or financial engineering.
- 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.
- Excellent 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 positive and inclusive work environment, where everyone feels comfortable coming to work as their whole self.
About CitiCiti is a global financial institution that serves as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We are committed to making a positive impact on the communities we serve and to creating a workplace where everyone feels valued and empowered to thrive.
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