Model Validation Derivative Pricing Validator Analyst (Modeling/Scoring/Analysis)- AVP-NEW YORK New York, New York, United States 09/19/2019 at Citi

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Validate and model risk manage derivative pricing models for Trading and Hedges. This position requires strong derivative pricing skills. 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.
Job Responsibilities:
  • Manage model risk across the model lifecycle including model validation, performance evaluation and annual model reviews.
  • Represent the bank in interactions with regulatory agencies, as required.
  • Present model validation findings to senior management and supervisory authorities.
  • Provide effective challenge to model assumptions, mathematical formulation, and implementation.
  • Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
  • Contribute to strategic, cross-functional initiatives within the model risk organization.

Knowledge /Experience
  • Minimum of a Master's degree in a quantitative field (physics, mathematics, computer science, etc.)
  • Ideally experience in modeling of equities 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.
  • Team work and commitment a must.
  • ------------------------------------------------ Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US
  • ----------------------------------------------------- Time Type :Full time
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