Citi Group Model Validator - Risk models 

Poland, Masovian Voivodeship, Warsaw 

61693810

Responsibilities:

We are looking for a seasonedwho will manage model risk in the areas of market and counterparty credit risk. The validation covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include performing and reviewing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk on an ongoing basis.​

Qualifications:

• 5+ years of relevant experience
• Knowledge of financial instruments, simulation and pricing methodologies, risk estimation and regulatory requirements
• Sound knowledge of stochastic calculus, numerical methods and statistics
• Strong communication skills both verbal and written
• Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
• Working Python knowledge
• Ability to work independently
• Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable

Education:

• A Master’s degree or higher in a quantitative field (Mathematics, Financial Engineering, Statistics, etc.) with relevant coursework and experience

In return, we offer:

• Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance, pension plan)
• Work in a friendly and diversified environment, appreciating differences in style and perspective
• A great environment for learning new technology and tools, online and instructor led training opportunities
• Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas
• A chance to make a difference with various affinity networks and charity initiatives

Time Type:

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