Model Risk Quant - Equity & Hybrids Derivative Validator, AVP

Validate and model risk manage 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 Responsibilities:

• Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
• Manage stakeholder interaction with model developers and business owners during the model lifecycle.
• 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 organisation.

Job Qualifications:

• Master's Degree or equivalent in STEM or other quantitative fields required (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 2 + years of Quantitative 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.
• Some 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 would be desirable.
• Strong derivative pricing skills a must (Risk neutral pricing,stochastic calculus, numerical techniques(finite differences, MonteCarlo simulation, binomial/Trinomial Trees, Numerical integration)), coding in C++/python).
• Strong communication skills with the ability to find practical solutions to challenging problems
• Team work and commitment a must.

This job description provides a high-level review of the types of work performed. Other job related duties may be assigned as required.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Valuing Diversity:
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.

Citi is an Equal Opportunities Employer -------------------------------------------------
Job Family Group:
Risk Management -------------------------------------------------
Job Family:
Risk Analytics, Modeling, and Validation ------------------------------------------------------
Time Type:
Full time ------------------------------------------------------
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