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Risk - Model Validation - Interest Rates Quant - AVP

London, United Kingdom | Citigroup

  • Industry:
    Financial Services
  • Position Type:
  • Functions:
    Risk Management
  • Experience:
Job Description:
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This role sits in the rates pricing model validation team in Model Risk Management (MRM). The position requires an experienced candidate with strong technical, quantitative, and organization skills. The candidate should have fundamental knowledge in derivative pricing for flow and exotic rates products and modelling approaches, and preferably has experience developing models either in a Front Office or Model Validation role. Knowledge and understanding of FX and XVA for rates 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 models 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.

Responsibility and Qualification:

  • Validate interest rates trading/pricing models and manage model risk related issues in rates derivative pricing.

  • Provide effective challenge to model assumptions, mathematical formulation, implementation, and performance.

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

  • Fluent writing skill (in English) is required. Working experience with LATEX is a plus.

  • Develop independent benchmark tools for validation purposes across the team. Working experience with Python and/or C++ is a plus.

  • Provide subject matter expertise to stakeholders.

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

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

  • Master degree or higher in a quantitative discipline is required. PhD is preferred.

  • Relevant working experience in quantitative modeling or model validation is required, preferably in rates.

  • Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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