Job Information
Citigroup Model Validator - Risk models in Warsaw, Poland
The Model Validator is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business. Requires basic commercial awareness. There are typically multiple people within the business that provide the same level of subject matter expertise. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Significant impact on the area through complex deliverables. Provides advice and counsel related to the technology or operations of the business. Work impacts an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.
Responsibilities:
We are looking for a seasoned Model Validator who will manage model risk in the areas of market and counterparty credit risk. 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 performing and reviewing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk on an ongoing basis.
Qualifications:
5+ years of relevant experience
Knowledge of financial instruments, simulation and pricing methodologies, risk estimation and regulatory requirements
Sound knowledge of stochastic calculus, numerical methods and statistics
Strong communication skills both verbal and written
Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
Working Python knowledge
Ability to work independently
Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable
Education:
- A Master’s degree or higher in a quantitative field (Mathematics, Financial Engineering, Statistics, etc.) with relevant coursework and experience
In return, we offer:
Competitive salary & social benefits (e.g. private healthcare care, Benefit System, life insurance, pension plan)
Work in a friendly and diversified environment, appreciating differences in style and perspective
A great environment for learning new technology and tools, online and instructor led training opportunities
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
#LI-CM1
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 (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) .
View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP_EEO_Supplement_Final_JRF_QA_508c.pdf) .
View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo_aa_policy.pdf) .
View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp_%20English_formattedESQA508c.pdf)
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
Citigroup
- Citigroup Jobs