Equity & Hybrids Derivative Model Validator AVP Position
1 day ago
Role Summary:
Citi's Model Risk Management team focuses on validating Equity & Hybrids derivative pricing models for Trading and Hedges. We are seeking a skilled professional to review model assumptions, verify mathematical formulations, and develop benchmark models to conduct effective challenges.
Key Responsibilities:
- Manage model risk across the model lifecycle, including model validation, ongoing performance evaluation, and annual model reviews.
- Interact with stakeholders, including model developers and business owners, during the model lifecycle.
- Provide effective challenges to model assumptions, mathematical formulations, 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 STEM or other quantitative fields 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.
- 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 would be desirable.
- Strong derivative pricing skills, including risk-neutral pricing, stochastic calculus, numerical techniques (finite differences, Monte Carlo simulation, binomial/trinomial trees, numerical integration), 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:
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 energized to join us, motivated to stay, and empowered to thrive. We offer a competitive base salary, a discretionary annual performance-related bonus, private medical insurance packages, an Employee Assistance Programme, a Pension Plan, paid parental leave, and special discounts for employees, family, and friends.
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