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Model / Analyst / Validation Officer (VP)

London, United Kingdom | Citi Private Bank

  • Industry:
    Financial Services
  • Position Type:
  • Functions:
    Risk Management
  • Experience:
Job Description:
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Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviews.

Provide challenge to pricing models assumptions, mathematical formulation, and implementation in order to assess their accuracy and robustness, by the use of mathematical tools and techniques.

Implement variety of tests aimed to examine model’s behaviour under different scenarios and market conditions.

Collaborate with senior personnel in delivering high-quality validation reports, highlighting risks and limitations of the model and quantifying model risk.

Manage stakeholder interaction with model developers and business owners during the model lifecycle.

Be present to assist in bank interactions with regulatory agencies, as required.

Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.

Contributes to strategic, cross-functional initiatives within the model risk organization.

Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

Extensive years experience

Proficient in Microsoft Office with an emphasis on MS Excel

Consistently demonstrates clear and concise written and verbal communication skills

Self-motivated and detail oriented

Demonstrated project management and organizational skills and capability to handle multiple projects at one time

Ideally experience in modelling of commodity derivative or alternatively fixed income derivative products.

Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python)

Strong communication skills with the ability to find practical solutions to challenging problems

Having experience interacting with the front office (Traders/ Quants) is a plus.

Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models

Education:

Minimum of Master’s degree in a quantitative field (physics, mathematics, computer science, etc.) with extensive years of relevant 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 or DEA/Master Research (Geman , El Karoui, Lamberton, Laure Elie…)


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