Model Validation - Equity Exotic Derivative Model Validator

Recruiter
Citi
Location
London, United Kingdom
Salary
Competitive
Posted
20 Feb 2019
Closes
23 Mar 2019
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
  • Primary Location: United Kingdom,England,London
  • Education: Master's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 19001749


Description

The role will be the in Model Risk Management Group validating equity derivative models.  This will involve working closely with Business stakeholders including quants, IT developers and traders as well as other control functions. Primary responsibility is to ensure that models are used appropriately in the business context and that any limitation arising from the model is understood and appropriate compensating controls are in place.



Job Responsibilities:

  • Review the underlying theory, assumptions, limitations, implementation and testing of the models
  • 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.
  • Represent the bank in interactions with regulatory agencies, as required.
  • 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.


Qualifications

  • In depth knowledge of exotic equity derivatives and the risks associated with these products.
  • Minimum of Master's degree in a quantitative field (physics, mathematics, computer science, etc.) with extensive years of relevant experience.
  • Higher academic qualifications and/or additional certifications such as a PhD, second Master's degree or CFA.
  • Strong communication skills (both verbal and written) with the ability to find practical solutions to challenging problems.
  • Solid writing skills; publications in peer-reviewed journals, industry presentations, etc.
  • Experience with risk neutral pricing, stochastic calculus, and associated numerical techniques.  In particular when applied to modeling of exotic equity derivative products.
  • Programming skills:  C/C++/C# or Python preferable
  • Team work and commitment a must.


Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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 organisational success.


Citi is an Equal Opportunities Employer

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