Derivatives Pricing Models Validator

Employer
Citi
Location
Warsaw, Poland
Salary
Competitive
Posted
Jun 29, 2019
Closes
Jul 21, 2019
Ref
5931577
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
  • 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