Derivatives Pricing Models Validator

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in analysis, problem solving and communication to Citi’s Model Risk Validation Team.

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team / Role Overview:

This role is an integral part of Model Risk Management, with a FX and FX/IR hybrid option derivatives (with potential exposure to other asset classes). The Derivatives Pricing Models Validator provides independent challenge and thought leadership, leveraging deep quantitative expertise to deliver value-added perspectives and advisory services. You will gain a comprehensive understanding of how valuation models are developed, implemented, and governed across their lifecycle. The role includes contributing to methodology/tooling improvements within your area of expertise and requires strong communication and diplomacy skills to engage effectively with stakeholders. You will be accountable for the volume, quality, and timeliness of deliverables. The team sits within the wider Model Risk function and currently comprises seven members with a range of experience levels.

                                                                                                                                          ­­­­

What you'll do:

This position involves critical responsibilities in the validation and risk management of derivative pricing models. Key responsibilities include:

• Validate and manage model risk for derivative pricing models used in Trading and Hedges.
• Provide effective challenge to the model development process, encompassing the review of model assumptions and ensuring the mathematical formulation is accurate and fully defined.
• Independently implement business/desk models when necessary to verify functionality and performance. Implement a variety of tests designed to examine the model’s behaviour under diverse scenarios and market conditions.
• Assess developer testing and ensure that any identified gaps are remediated through independent test scripts.
• Rigorously assess and quantify model limitations to ensure transparency and proper risk management.
• Manage model risk throughout its entire lifecycle, which includes initial model validation, ongoing monitoring, and annual reviews.
• Challenge pricing model assumptions, mathematical formulations, and implementations to ascertain their accuracy and robustness, utilizing advanced mathematical tools and techniques.
• Collaborate effectively with senior personnel to produce high-quality validation reports that highlight risks, limitations, and quantify overall model risk.
• Manage stakeholder interactions with model developers and business owners throughout the model lifecycle to ensure smooth collaboration and effective communication.
• Be available to assist in bank interactions with regulatory agencies as required, representing Citi's model risk management practices.

What we’ll need from you

We are seeking a highly skilled and motivated individual with a strong foundation in quantitative analysis. Essential qualifications and skills include:

• A minimum of a master’s degree in a quantitative field such as physics, mathematics, or engineering, complemented by up to 2 years of relevant professional experience. Candidates possessing higher academic qualifications (e.g., a PhD or a second master’s degree) or professional certifications (such as CPA or CFA) may be considered with fewer years of relevant experience.
• Ideally, prior experience in the modelling of FX derivative products. Experience with Rates, Equity, and Commodity derivatives will also be given strong consideration.
• Strong proficiency in derivative pricing concepts, including stochastic calculus, numerical techniques, and robust coding skills in C++ and Python.
• Excellent communication skills, with the proven ability to articulate complex problems clearly and to find practical, effective solutions.
• A demonstrated commitment to teamwork and strong collaborative capabilities.
• A self-motivated approach, coupled with meticulous attention to detail.
• Proven project management and organizational skills, including the ability to efficiently handle multiple projects simultaneously and meet deadlines.

What we can offer you:

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best-in-class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

• 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 Program  
• Pension Plan 
• Paid Parental Leave 
• Special discounts for employees, family, and friends 
• Access to an array of learning and development resources 

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities. 

#LI-TM3

------------------------------------------------------

Job Family Group:

Risk Management

------------------------------------------------------

Job Family:

Risk Analytics, Modeling, and Validation

------------------------------------------------------

Time Type:

Full time

------------------------------------------------------

Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

------------------------------------------------------

Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

------------------------------------------------------

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View Citi’s EEO Policy Statement and the Know Your Rights poster.