Skip to main content

Careers

COVID-19:

The health and safety of our colleagues and candidates for employment are our highest priority. Accordingly, Citi continues to monitor the COVID-19 situation closely. We have implemented precautionary measures across our firm globally, including conducting all candidate interviews virtually on a temporary basis until further notice where needed.

VP, Model/Anlys/Valid Sr Manager

Job Req ID 22479669 Primary Location New York, New York Job Category Risk Management
Apply Now

Overview:

This role sits in the Rates pricing model validation team in Model Risk Management (MRM). The position requires an experienced candidate with strong technical, leadership, and organizational skills. The candidate should be fluent in derivative pricing for flow and exotic rates products and modelling approaches, and should have experience developing models either in a Front Office or Model Validation role. Knowledge and understanding of FX and XVA would be valuable. Experience with Markov Functional modeling is preferred. A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected.

The ability to work well with senior stakeholders within the firm and with our regulatory colleagues is essential. This role has high visibility and growth potential--clear communication and subject matter expertise are critical. You will be interacting with senior members of the Front Office, Market Risk, Finance, and regulatory agencies as required.

Responsibilities:

  • Validate and manage model risk related issues in rates derivatives pricing.

  • Provide effective challenge in regards to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses.

  • Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.

  • Develop independent benchmarking tools for validation purposes across the team.

  • Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audio requirements, and regulatory guidance.

  • Provide subject matter expertise to stakeholders and guidance to junior team members.

  • Represent the firm in interactions with regulatory agencies, as required.

  • Contribute to strategic, cross-functional initiatives within MRM as needed.

Qualifications:

  • 3+ years of relevant working experience.

  • Master’s Degree or equivalent in STEM or other quantitative fields is required (Mathematics, Physics, Statistics, Financial Engineering, Quantitative Finance etc.); PhD preferred.

  • Solid knowledge of interest rates modelling and products, term structure models, and industry best practices. Knowledge and understanding of FX and XVA would be valuable.

  • Excellent quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods.

  • Strong communication and documentation skills are required.

  • Ability to work independently as a validator as well as collaboratively as a team player.

  • Working experience of Python is strongly preferred; knowledge of C++ is a plus.

  • Candidates who do not meet these criteria but with exceptional skills and academic qualification and/or certifications may be considered for the role.

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

Job Family Group:

Risk Management

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

Job Family:

Risk Analytics, Modeling, and Validation

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

Time Type:

Full time

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

Citi is an equal opportunity and affirmative action employer.

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.

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 review Accessibility at Citi.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

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

Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

Apply Now
  • Join our team
    of 220,000+
    strong diverse employees

  • Socially minded employees volunteering in communities across 90 countries

  • Meaningful career opportunities thanks to a physical presence in over 95 markets

We foster a culture that embraces all individuals and encourages diverse perspectives, where you can make an impact and grow your career. At Citi, we value colleagues that demonstrate high professional standards, a strong sense of integrity and generosity, intellectual curiosity, and rigor. We recognize the importance of owning your career, with the commitment that if you do, we promise to meet you more than half way.

Saved Jobs

You have no saved jobs

Previously Viewed Jobs

You have no viewed jobs