Model Validation

1 week ago

London, United Kingdom Citi Full time

Model Validation - Interest Rates Quant - AVP **Responsibility**: - Validate interest rates trading/pricing models and manage model risk related issues in rates derivative pricing. - Provide effective challenge to model assumptions, mathematical formulation, implementation, and performance. - Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls. - Fluent writing skill (in English) is required. Working experience with LATEX is a plus. - Develop independent benchmark tools for validation purposes across the team. Working experience with Python and/or C++ is a plus. - Represent the firm in interactions with regulatory agencies, as required. - Contribute to strategic, cross-functional initiatives within MRM as needed. **Qualification**: - Master degree or higher in a quantitative discipline (e.g. mathematics, physics, engineering, statistics) is required. PhD is preferred. - Relevant working experience in quantitative modeling or model validation is required, preferably in rates. - Solid knowledge of interest rates modelling and products, term structure models, and industry best practices. Knowledge and understanding of FX and XVA would be valuable. - Excellent quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods. - Strong communication and documentation skills are required. - Ability to work independently as a validator as well as collaboratively as a team player. - Working experience of Python is strongly preferred; knowledge of C++ is a plus. **Valuing Diversity**: Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success. This job description provides a high-level review of the types of work performed. Other job related duties may be assigned as required. Citi is an Equal Opportunities Employer Citigroup Centre, 33 Canada Square, Canary Wharf, London E14 5LB - **Job Family Group**: Risk Management - **Job Family**: Risk Analytics, Modeling, and Validation - **Time Type**: Full time - 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. View the "**EEO is the Law**" poster. View the **EEO is the Law Supplement**. View the **EEO Policy Statement**. View the **Pay Transparency Posting

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