Model Risk Validator

Working at Citi means joining a global team of more than 225,000 people. Citi offers varied opportunities across multiple business lines including banking, technology, and investment services, focused on driving global progress.

• Bachelor's degree in Finance, Economics or a quantitative discipline; Master's degree preferable
• Minimum 2 years of relevant work experience
• Derivative-pricing skills including stochastic calculus and numerical techniques
• Experience in mathematical modelling and development/implementation of models for pricing financial derivatives
• Strong computational skills with experience in Python
• Proficient in MS Office Suite, especially Excel, PowerPoint, and Word
• Familiarity with compiling documents in LaTeX
• Strong communication skills, both speaking and writing
• Understanding of model risk and validation testing techniques
• Project management skills with ability to deliver high-quality work on time

Nice to have:

• Experience in model validation
• Experience with collaborative development tools such as Git
• Experience interacting with front office (traders/quants) and commodity markets
• Basic knowledge of project management

• Manage model-related risks across the institution for commodities
• Conduct independent validations and monitor model performance
• Perform reviews and design tests assessing model performance in normal and stressed scenarios
• Contribute to the team's Python-based benchmarking codebase
• Build independent replicas of business models for verification
• Identify model limitations and quantify associated risks
• Work with stakeholders to establish controls
• Collaborate with model developers, trading desks, and senior management to communicate validation findings and manage the model lifecycle
• Create high-quality validation reports
• Assist in presenting findings to internal stakeholders and external regulatory agencies
• Hybrid working model with up to 2 days working from home per week

Hybrid working model allowing up to 2 days work from home per week