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Cross Asset Markets and Risk Models Validation

Job Req ID 24738874 Location(s) Warsaw, Poland Job Type On-Site/Resident Job Category Risk Management
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The MRM Cross Asset Markets and Risk Models Validation team is looking for highly motivated individual with attention to detail and ability to work well with senior stakeholders. The role will have a wide-ranging focus covering validation and key Model Risk Management activities in the following areas:

  • ETrading models review and validation
  • Market risk and counterparty credit risk models review and validation
  • Wholesale credit risk models review and validation
  • Benchmark models review and validation

Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls. 

The role will also include review new business activities that assess whether Model Risk policies and procedures are applicable and working with the business and wider MRM colleagues to identify approval steps.
The ability to work well with senior stakeholders within the firm and with our audit/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.

Job Responsibilities:

  • Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviews.
  • Independent model validation work, providing effective challenge in regards to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses.
  • Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audio requirements, and regulatory guidance.
  • Manage stakeholder interaction with model developers and business owners during the model lifecycle.
  • Be ready to assist in the bank interactions with Internal Audit and Regulatory Agencies, as required.
  • Contribute to strategic, cross-functional initiatives within the model risk organization.

Job Qualifications:

  • Master’s Degree required, preferably in quantitative field (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 2 years of experience in model validation.
  • Experience in model validation in one or more of Credit Risk, Market Risk or etrading models 
  • A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected.
  • Sound knowledge of at least one of the following programming languages – Python or R required.

In return, we offer:

  • Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance)
  • Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success
  • A great environment for learning new technology and tools, online and instructor led training opportunities
  • Working in a friendly, dynamic and multinational environment
  • Opportunity to have an influence on the way you perform your tasks - our teams are constantly looking for new and better ways and we encourage all improvement ideas
  • A chance to make a difference with various affinity networks and charity initiatives


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.

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