1+ months
2018-06-122018-08-22

Model Risk Quant - Pricing Models

Citigroup
Queens, NY
  • Primary Location: United States,New York,Long Island City
  • Education: Master's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18012665

Description


About Citi:
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citis Mission and Value Propositionexplains what we do and Citi Leadership Standardsexplain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients and the publics trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
Position Objective:

This position will support Model Risk Management for ICG Markets pricing derivatives models. Primary responsibilities will be to validate and model risk manage Credit derivative pricing models for Trading and Hedges. 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.


Job Responsibilities:
  • Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
  • Provide guidance to junior validators as and when necessary
  • Manage stakeholder interaction with model developers and business owners during the model lifecycle.
  • Represent the bank in interactions with regulatory agencies, as required.
  • Present model validation findings to senior management and supervisory authorities.
  • 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 organization.


Qualifications


  • Minimum of Masters degree in a quantitative field (physics, mathematics, computer science, etc.) with 3+ years of relevant experience.
  • Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Masters 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 Credit derivative products
  • Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python).
  • Strong communication skills with the ability to find practical solutions to challenging problems
  • Team work and commitment a must.

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Model Risk Quant - Pricing Models

Citigroup
Queens, NY

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