Derivatives Pricing Models Validator
- Employer
- Citi
- Location
- Warsaw, Poland
- Salary
- Competitive
- Closing date
- May 11, 2019
View more
- Job Function
- Risk Management
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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- Primary Location: Poland,Mazowieckie,Warsaw
- Education: Master's Degree
- Job Function: Risk Management
- Schedule: Full-time
- Shift: Day Job
- Employee Status: Regular
- Travel Time: No
- Job ID: 19017840
Description
What would you do as a Derivatives Pricing Models Validator?
- Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviews
- Provide challenge to pricing models assumptions, mathematical formulation, and implementation in order to assess their accuracy and robustness, by the use of mathematical tools and techniques
- Implement variety of tests aimed to examine model's behavior under different scenarios and market conditions
- Collaborate with senior personnel in delivering high-quality validation reports, highlighting risks and limitations of the model and quantifying model risk
- Manage stakeholder interaction with model developers and business owners during the model lifecycle
- Be present to assist in bank interactions with regulatory agencies, as required
Qualifications
Requirements:
- Minimum of Master's degree in a quantitative field (physics, mathematics, computer science, etc.) with 3+ years of relevant 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
- Ideally experience in modeling of FX 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:
- Excellent opportunity to work in a multi-cultural, dynamic and complex organization
- Enhanced visibility to the senior leadership team
- A number of other financial and non-financial benefits (Medicover, MultiSport, private pension plan, life insurance etc.)
- Great atmosphere in our offices
- Access to unlimited number of training
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