Equity & Hybrids Derivative - Model Validator - AVP

5 months ago

London, United Kingdom 11037 Citibank, N.A. United Kingdom Full time

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills and or experience in either model development or validation to Citi’s Model Risk Management team that focus on validation of Equity & Hybrids derivative pricing models for Trading and Hedges .

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

This position requires strong derivative pricing skills along with relevant industry experience. 

Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls. 

What you’ll do?

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 organisation.

What we’ll need from you:

Master’s Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) 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 modelling of equity derivative products would be desirable. Strong derivative pricing skills a must (Risk neutral pricing, stochastic calculus, numerical techniques (finite differences, Montecarlo simulation, binomial/Trinomial Trees, Numerical integration), coding in C++/python). Strong communication skills with the ability to find practical solutions to challenging problems. Teamwork and commitment are essential.

What we can offer you:

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as: 

Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure. A discretional 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 

Alongside these benefits 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 energised to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need. Then apply to discover the true extent of your capabilities.  

#LI-TM3

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review .

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