Citi Group Model Risk Quant - Equity & Hybrids Derivative Validator Vice President 

United Kingdom, England, London 

501258955

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Role Overview

This position will be responsible for validating and model risk management of 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.

What you’ll do?

• 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.

What we’ll need from you?

• Degree in a quantitative field (physics, mathematics, computer science, financial engineering, etc.) with relevant experience required.

• 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, 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 modelling of equity 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.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure.

• A discretional annual performance related bonus

• Private medical insurance packages to suit your personal circumstances.

• Employee Assistance Programme

• Pension Plan

• Paid Parental Leave

• Special discounts for employees, family, and friends

• Access to an array of learning and development resources

Time Type:

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