Derivatives Pricing Models Validator - VP Derivatives Pricing Models Validator - VP …

in Warsaw, Mazowieckie, Poland
Permanent, Full time
Be the first to apply
in Warsaw, Mazowieckie, Poland
Permanent, Full time
Be the first to apply
Derivatives Pricing Models Validator - VP
This position will support Model Risk Management for FX and FX/ IR Hybrid pricing derivatives models. Primary responsibilities will be to validate and model risk manage derivative pricing models for Trading and Hedges. This position requires a sound background in stochastic calculus, probability theory & numerical methods and good Python skills will be a distinct advantage. The validation role aims to ensure effective challenge to the model development process, which includes but not limited to reviewing model assumptions, ensuring the mathematical formulation is correct and fully defined, independently implementing the business/desk model when needed, assesses developer testing & ensure gaps are remediated via independent test scripts, and assess & quantify model limitations.

This position is a unique opportunity to learn how models are developed and validated in an organization such as Citi, which has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.

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
  • 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
We offer:
  • An opportunity to work on variety of risk models and to develop and expand your knowledge in quantitative analysis field
  • A chance to cooperate with a high-quality team in a challenging area of the financial industry with one of the world's leading companies
  • Centrally located, state-of-the-art workplace, which boosts productivity and provides the employees with areas designed specifically for team building and relax
  • Access to the latest technologies and tools
  • Exposure to a wide range of internal stakeholders as well as to senior management
  • International working environment
  • The package of trainings
  • Flexibility in working hours
  • Attractive conditions of employment and benefit
Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - PL ------------------------------------------------------
Time Type :Full time ------------------------------------------------------
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. 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 CLICK HERE .
To view the "EEO is the Law" poster CLICK HERE . To view the EEO is the Law Supplement CLICK HERE .
To view the EEO Policy Statement CLICK HERE .
To view the Pay Transparency Posting CLICK HERE .