Citi Group Equity & Hybrids Derivative - Model Validator AVP 

United Kingdom, England, London 

779140699

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.

This position requires strong derivative pricing skills along with relevant industry experience.

What you’ll do?

• 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.
• Contribute to strategic, cross-functional initiatives within the model risk organisation.

What we’ll need from you:

• Master’s Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 2 + years of Quantitative 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, CPA or CFA.
• Some 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 would be desirable.
• Strong derivative pricing skills a must (Risk neutral pricing, stochastic calculus, numerical techniques (finite differences, Montecarlo simulation, binomial/Trinomial Trees, Numerical integration), coding in C++/python).
• Strong communication skills with the ability to find practical solutions to challenging problems.
• Teamwork and commitment are essential.

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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