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

Model Risk Quant - Equity & Hybrids Derivative Validator, Vice President

Citi

Location:

United Kingdom, London

Category:

Finance

Contract Type:

Not provided

Salary:

Not provided

Save Job

Apply Position

Job Description:

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.

Job Responsibility:

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

Requirements:

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

What we offer:

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

Additional Information:

Job Posted:

March 22, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

View All Jobs In This Company

Job Link Share:

Welcome to CrawlJobs.com –
Your Global Job Discovery Platform

At CrawlJobs.com, we simplify finding your next career opportunity by bringing job listings directly to you from all corners of the web. Using cutting-edge AI and web-crawling technologies, we gather and curate job offers from various sources across the globe, ensuring you have access to the most up-to-date job listings in one place.