6 days old

Model Validator

Citigroup
Kew Gardens, NY 11415
+ Validate and model risk manage Equity & Hybrids 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.

+ 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.

+ **Job Qualifications:**

+ Masters 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 Masters 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 (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.

-------------------------------------------------


**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.


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 **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .


View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .


View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .


View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)


-----------------------------


Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

Categories

Posted: 2022-05-13 Expires: 2022-06-12

Before you go...

Our free job seeker tools include alerts for new jobs, saving your favorites, optimized job matching, and more! Just enter your email below.

Share this job:

Model Validator

Citigroup
Kew Gardens, NY 11415

Join us to start saving your Favorite Jobs!

Sign In Create Account
Powered ByCareerCast