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COVID-19:

우리 동료들과 지원자들의 건강은 우리의 최우선 순위입니다. 따라서 Citi는 COVID-19 상황을 면밀히 모니터링하고 있습니다. 우리는 추후 공지가 있을 때까지, 임시적으로 모든 후보자 인터뷰를 가상으로 실시하는 것을 포함하여 전 세계적으로 회사 전체에 예방 조치를 구현하였습니다.

VP, Model/Anlys/Valid Sr Manager

직무 ID 22479669 기본 근무지 New York, New York; 채용 범주 Risk Management
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Overview:

This role sits in the Rates pricing model validation team in Model Risk Management (MRM). The position requires an experienced candidate with strong technical, leadership, and organizational skills. The candidate should be fluent in derivative pricing for flow and exotic rates products and modelling approaches, and should have experience developing models either in a Front Office or Model Validation role. Knowledge and understanding of FX and XVA 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 senior 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.

Responsibilities:

  • Validate and manage model risk related issues in rates derivatives pricing.

  • Provide effective challenge in regards to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses.

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

  • Develop independent benchmarking tools for validation purposes across the team.

  • Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audio requirements, and regulatory guidance.

  • Provide subject matter expertise to stakeholders and guidance to junior team members.

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

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

Qualifications:

  • 3+ years of relevant working experience.

  • Master’s Degree or equivalent in STEM or other quantitative fields is required (Mathematics, Physics, Statistics, Financial Engineering, Quantitative Finance etc.); PhD preferred.

  • Solid knowledge of interest rates modelling and products, term structure models, and industry best practices. Knowledge and understanding of FX and XVA would be valuable.

  • Excellent quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods.

  • Strong communication and documentation skills are required.

  • Ability to work independently as a validator as well as collaboratively as a team player.

  • Working experience of Python is strongly preferred; knowledge of C++ is a plus.

  • Candidates who do not meet these criteria but with exceptional skills and academic qualification and/or certifications may be considered for the role.

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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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.

View the "EEO is the Law" poster. View the EEO is the Law Supplement.

View the EEO Policy Statement.

View the Pay Transparency Posting

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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  • 22만 명 이상의 유능하고 다양한 직원으로 구성된 Citi 팀에 합류하십시오

  • 90개 국가의 공동체에서 자원봉사를 행하는 사회적 책임감을 가진 직원들

  • 95개 이상의 시장에 실제로 존재하는 의미 있는 채용 기회

우리는 모든 개인을 포용하고 다양한 관점을 장려하여, 귀하가 영향력을 생성하고 경력을 성장시킬 수 있는 문화를 조성합니다. Citi는 높은 수준의 전문성 기준, 굳건한 성실성과 관대함, 지적 호기심 및 엄격함을 보여주는 동료를 소중하게 생각합니다. 우리는 귀하가 씨티에서 경력을 쌓는다는 일이 가진 중요성을 인식하며, 귀하의 헌신에 대하여 우리도 마찬가지로 노력할 것을 약속 드립니다

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