Skip to main content

This job has expired

Derivatives Pricing Models Validator - AVP

Employer
Citigroup
Location
Lambeth, South East London, United Kingdom
Salary
Competitive Salary
Closing date
Sep 22, 2020

View more

Job Role
Commercial Finance Manager
Sector
Finance
Contract Type
Permanent
Hours
Full Time
CITICredit Portfolio Officer - VPDerivatives Pricing Models Validator â AVPStart Date: 21/08/20Closing Date: 21/09/20This position will support Model Risk Management for FX and FX/ IR Hybrid pricing derivatives models. Primary responsibilities will be to validate and model risk manage derivative pricing models for Trading and Hedges. This position requires a sound background in stochastic calculus, probability theory & numerical methods and good Python skills will be a distinct advantage. The validation role aims to ensure effective challenge to the model development process, which includes but not limited to reviewing model assumptions, ensuring the mathematical formulation is correct and fully defined, independently implementing the business/desk model when needed, assesses developer testing & ensure gaps are remediated via independent test scripts, and assess & quantify model limitations.The Derivatives Pricing Models Validator â AVP provides operational/service leadership and applies in-depth disciplinary knowledge through provision of value-added perspectives or advisory services. May contribute to the development of new techniques, models and plans within area of expertise. Strong communication and diplomacy skills are required. Generally has responsibility for volume, quality, timeliness of end results and shared responsibility for planning and budgets. Work affects an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family. Full supervisory responsibility, ensuring motivation and development of team through professional leadership to include duties such as performance evaluation, compensation, hiring, disciplinary and terminations as well as direction of daily tasks and responsibilities.

Responsibilities:
Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviewsProvide challenge to pricing models assumptions, mathematical formulation, and implementation in order to assess their accuracy and robustness, by the use of mathematical tools and techniquesImplement variety of tests aimed to examine modelâs behaviour under different scenarios and market conditionsCollaborate with senior personnel in delivering high-quality validation reports, highlighting risks and limitations of the model and quantifying model riskManage stakeholder interaction with model developers and business owners during the model lifecycleBe present to assist in bank interactions with regulatory agencies, as requiredQualifications:Minimum of Masterâs degree in a quantitative field (physics, mathematics, engineering or similar) and up to 2 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 Masterâs degree, CPA or CFA Ideally experience in modeling of FX derivative products, thouh Rates, Equity and Commodity derivatives experience will be considered.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 mustSelf-motivated and detail orientedDemonstrated project management and organizational skills and capability to handle multiple projects at one timeEducation:Minimum of Masterâs degree in a quantitative field (physics, mathematics, engineering or similar)Valuing Diversity:Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.This job description provides a high-level review of the types of work performed. Other job related duties may be assigned as required. Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.Citi is an Equal Opportunities EmployerCitigroup Centre, 33 Canada Square, Canary Wharf, London E14 5LB-------------------------------------------------Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - GB------------------------------------------------------Time Type :Full time------------------------------------------------------Citi is an equal opportunity and affirmative action employer.Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.Citigroup Inc. and its subsidiaries ('Citiâ) 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 CLICK HERE.To view the 'EEO is the Law' poster CLICK HERE. To view the EEO is the Law Supplement CLICK HERE.To view the EEO Policy Statement CLICK HERE.To view the Pay Transparency Posting CLICK HERE.

Get job alerts

Create a job alert and receive personalized job recommendations straight to your inbox.

Create alert