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Model Validation Quant VP - Counterparty Credit Risk

Job Req ID 21329643 Primary Location New York, New York Job Category Risk Management
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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 model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications.  Job responsibilities include performing and reviewing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk on an ongoing basis.

Requirements:

  • 2+ years relevant experience
  • Knowledge of financial instruments, simulation and 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
  • 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

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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