Model Validator - Risk Models, Citi

Model Validator - Risk Models

Citi

Location:

Poland, Warsaw

Category:

Finance

Contract Type:

Not provided

Salary:

Not provided

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Job Description:

We are looking for a seasoned model validator who 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. This position creates a broad set of opportunities for interaction with a range of internal functions as well as senior management within the bank. In short, this role offers opportunity for immense professional development for a candidate with the right competency, keen interest, high degree of motivation and energy.

Job Responsibility:

Perform detailed quantitative analyses aimed at identifying material model limitations
Work with internal and external stakeholders on the validation findings and remediation actions
Write validation documents that critically evaluate the model methodology, describe the performed analyses and present the model users with a clear overview of discovered weaknesses and associated compensating controls
Provide guidance to less experienced colleagues to ensure quality validation work

Requirements:

Proven track record of success in the model validation field
Knowledge of financial instruments, risk estimation and pricing methodologies
Ability to apply sophisticated mathematical/analytical techniques to solve real-world problems
Strong communication skills both verbal and written
Working Python knowledge
Ability to work independently
Curiosity, diligence, and a healthy scepticism about received wisdom are all desirable
Master’s degree or higher in a quantitative field (Mathematics, Financial Engineering, Statistics, etc.) with relevant coursework and experience

What we offer:

Competitive salary & social benefits (e.g. private healthcare care, multisport card, life insurance, pension plan)
Unique opportunity to work in a global financial institution with state-of-the-art solutions and exciting quantitative modelling challenges
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

Additional Information:

Job Posted:

March 22, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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