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Model Validation Quant AVP - Counterparty Credit Risk

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

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Responsibilities

We are looking for model validator for validating risk models with the primary area being Counterparty Credit Risk. The validation covers both technical and functional aspects, including technical assessment of adequacy of the input data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the functional assessment of using the model for regulatory and business applications.  Job responsibilities include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk on an ongoing basis.

 

Requirements:

  • 2-3+ years relevant experience
  • Knowledge of financial instruments, pricing methodologies, risk estimation and regulatory requirements
  • Sound knowledge of Stochastic Calculus, Numerical Methods and Statistics
  • Strong communication skills both verbal and written
  • Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
  • Programming skills:  C/C++, Python and Excel VBA
  • Ability to work independently

 

Education:

  • A Master’s degree or higher in a quantitative field (Mathematics,  Physics, Engineering, Finance, Economics, Statistics, etc.) with relevant coursework and 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 

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US

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Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.

 

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