Derivatives Pricing Models Validator - Vice President

Discover a rewarding career path at the forefront of global finance with Citi's Model Risk Validation Team. This opportunity is ideal for analytical and problem-solving professionals seeking to make a significant impact within a leading financial institution.

About the Role:

As a Derivatives Pricing Models Validator, you will be an integral part of Model Risk Management, specializing in FX and FX/IR hybrid option derivatives, with potential exposure to other asset classes. This role demands independent challenge and thought leadership, leveraging deep quantitative expertise to provide value-added perspectives and advisory services. You will gain an in-depth understanding of the entire lifecycle of valuation models, from development to governance.

Key Responsibilities:

• Conduct rigorous validation and management of model risk for derivative pricing models used in trading and hedging activities.
• Provide constructive challenge to the model development process, meticulously reviewing assumptions and ensuring mathematical accuracy and completeness.
• Independently implement business/desk models to verify functionality and performance under diverse scenarios and market conditions.
• Assess developer testing and remediate identified gaps through independent test scripts.
• Quantify model limitations to ensure transparency and robust risk management.
• Manage model risk throughout its entire lifecycle, including initial validation, ongoing monitoring, and annual reviews.
• Challenge pricing model assumptions, mathematical formulations, and implementations using advanced quantitative tools.
• Collaborate with senior personnel to produce high-quality validation reports detailing risks, limitations, and overall model risk.
• Engage effectively with model developers and business owners to ensure smooth collaboration and clear communication.
• Assist in regulatory interactions, representing Citi's model risk management practices.

Advantages for Your Career:

• Deepen Quantitative Expertise: Immerse yourself in complex financial modeling, gaining hands-on experience with stochastic calculus, numerical techniques, and advanced coding languages.
• Strategic Impact: Play a crucial role in safeguarding the institution's financial integrity by providing independent challenge and thought leadership.
• Global Exposure: Become part of a global financial institution, contributing to its mission of enabling growth and economic progress.
• Professional Development: Access a wealth of learning and development resources to continuously enhance your skills and advance your career.
• Collaborative Environment: Work within a supportive team of seven with diverse experience levels, fostering a culture of knowledge sharing and growth.
• Hybrid Working: Benefit from a flexible hybrid working model, allowing for up to two days of working from home per week.

Key Considerations for Candidates:

• Educational Foundation: A Master's degree in a quantitative field (e.g., Physics, Mathematics, Engineering) is essential, with up to 2 years of relevant professional experience. Higher academic qualifications or professional certifications may offset experience requirements.
• Specialized Knowledge: Prior experience in modeling FX derivative products is highly desirable. Experience with Rates, Equity, and Commodity derivatives will also be a strong asset.
• Technical Proficiency: Strong coding skills in C++ and Python, coupled with a solid understanding of derivative pricing concepts, are critical.
• Communication Prowess: Excellent communication and diplomacy skills are vital for effectively engaging with diverse stakeholders and articulating complex quantitative concepts.
• Detail-Oriented and Proactive: A self-motivated approach with meticulous attention to detail and proven project management skills are necessary to manage multiple projects and meet deadlines.

What Citi Offers:

Citi is committed to the well-being and success of its employees, offering a comprehensive benefits package designed to support your financial, physical, and emotional health. This includes a competitive base salary, a generous holiday allowance, performance-related bonuses, private medical insurance, a pension plan, paid parental leave, and access to exclusive employee discounts.

This role provides an excellent platform for professionals seeking to build a distinguished career in financial risk management, offering both intellectual stimulation and tangible opportunities for growth within a respected global organization.