Model Risk Quant- CVA
- 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: 19001567
The role will be the in Model Risk Management Group validating CVA models. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk. This will involve working closely with business stakeholders including quants, IT developers and traders as well as other control functions.
• 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.
• 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.
• Minimum of Master's degree in a quantitative field (physics, mathematics, computer science, etc.) with extensive years of relevant experience.
• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or additional certifications such as a PhD, second Master's degree or CFA.
• Ideally experience in modelling of credit derivative products or counterparty valuation models.
• Strong derivative pricing skills a must (risk neutral pricing, stochastic calculus, numerical techniques).
• 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. are considered as good evidence.
• Programming skills: C/C++ or Python preferable
• Teamwork 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.
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