Model Risk Quant - Derivative Pricing Validator, VP

London, United Kingdom
28 Jul 2022
11 Aug 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Role Overview:
This position will support Model Risk Management for commodity pricing derivative models. Primary responsibilities will be to validate and model risk manage derivative pricing models for Trading and Hedges. This position requires a sound background in stochastic calculus, probability theory & numerical methods and good Python programming skills will be a distinct advantage. The validation role aims to ensure effective challenge to the model development process, which includes but not limited to reviewing model assumptions, ensuring the mathematical formulation is correct and fully defined, independently implementing the business/desk model when needed. The role is also to assess developer testing & ensure gaps are remediated via independent test scripts, and assess & quantify model limitations.

The successful candidate will get to interact on a daily basis with commodity traders and quants. The team encourages and aims to promote self-starter individuals. This position is a unique opportunity to learn how models are developed and validated in an organization such as Citi, which has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.

Role Responsibilities:
  • Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviews.
  • Provide challenge to pricing models assumptions, mathematical formulation, and implementation in order to assess their accuracy and robustness, by the use of mathematical tools and techniques.
  • Implement variety of tests aimed at examining model's behavior under different scenarios and market conditions.
  • Collaborate with senior personnel in delivering high-quality validation reports, highlighting risks and limitations of the model and quantifying model risks.
  • Manage stakeholder interaction with model developers and business owners during the model lifecycle.
  • Be ready to assist in the bank interactions with regulatory agencies, as required.
  • Assess and quantify model risks 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.
Experience / Competencies:
  • Minimum of Master's degree in a quantitative field (physics, mathematics, computer science, etc.) with some 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 Master's degree or DEA/Master Research.
  • Proficient in Microsoft Office with an emphasis on MS Excel.
  • To consistently demonstrate clear and concise written and verbal communication skills.
  • Self-motivated, proactive and detail oriented.
  • Demonstrated project management and organizational skills and capability to handle multiple projects at one time.
  • Ideally experience in modelling of commodity derivative or alternatively fixed income derivative products.
  • Strong derivative pricing skills a must (stochastic calculus, numerical techniques, including coding these in C++/python).
  • Strong communication skills, written and verbal, with the ability to find practical solutions to challenging problems
  • Having experience interacting with the front office (Traders/ Quants) is a plus.
  • Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
Job Family Group:
Risk Management -------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation ------------------------------------------------------
Time Type:
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 .

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