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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.

Quant Model Validator-AVP

Job Req ID 22475766 Primary Location Tampa, Florida; New York, New York Job Category Risk Management
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  • The Model Risk Management (MRM) organization provides oversight for the Model Risk Management Framework, which consists of the policy, processes, and procedures through which Citi identifies, measures, manages, monitors, reports, and controls model risk across the firm. This position is a unique opportunity to learn how the trading book models are developed and validated in a Tier one Global Investment Bank.

    Citi's Institutional Clients Group is comprised of diverse, talented professionals globally located in more than 100 countries and territories, collectively representing an unparalleled international network of financial skills and capabilities serving targeted clients. Our clients are top corporations, financial institutions and governments in countries around the world and our mission is to help them achieve their goals.


    We are looking for model validation quants for the Market Risk and Counterparty Credit Risk validation team, with focus areas including Market Risk (e.g. Fundamental Review of Trading Book), Counterparty Credit Risk, Initial Margin (e.g. SIMM), Comprehensive Capital Analysis and Review (CCAR), Internal Capital Adequacy Assessment Process (ICAAP), Economic Risk Capital, etc. 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 reviewing models and identifying shortcomings development documents, performing validation tests, discussing findings with senior stakeholders, writing validation reports, and managing model risk on an ongoing basis.


  • 1+ years of experience in quantitative model development/validation.
  • Knowledge of financial instruments, pricing models, simulation and risk estimation methodologies, and regulatory requirements (prior knowledge of trading book products is a plus)
  • Sound knowledge in calculus, algebra, numerical methods and statistics
  • Strong verbal and written communication skills
  • Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
  • Programming skills in languages like Python, MATLAB, C/C++/C#, VBA
  • Self-motivated and detail oriented, capability to handle multiple projects at the same time
  • Ability to work independently
  • Education:

  • A Master’s degree (Ph.D. degree preferred) in a quantitative field (e.g. Mathematics, Physics, Engineering, Finance, Economics, Statistics) with relevant coursework and experience


Job Family Group:

Risk Management


Job Family:

Risk Analytics, Modeling, and Validation


Time Type:

Full time


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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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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.

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  • Join our team
    of 220,000+
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  • 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.

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