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Credit Derivatives Pricing Models Validator at Citi (Lengthy Island Metropolis)

Credit Derivatives Pricing Models Validator

Lengthy Island Metropolis
Reference: 18012665

About Citi:

Citi, the main international financial institution, has roughly 200 million buyer accounts and does enterprise in additional than one hundred sixty nations and jurisdictions. Citi supplies shoppers, firms, governments and establishments with a broad vary of monetary services, together with shopper banking and credit score, company and funding banking, securities brokerage, transaction providers, and wealth administration. Our core actions are safeguarding belongings, lending cash, making funds and accessing the capital markets on behalf of our shoppers.

Citi's Mission and Worth Proposition explains what we do and Citi Management Requirements clarify how we do it. Our mission is to function a trusted companion to our shoppers by responsibly offering monetary providers that allow progress and financial progress. We attempt to earn and keep our shoppers' and the general public's belief by continually adhering to the very best moral requirements and making a constructive influence on the communities we serve. Our Management Requirements is a standard set of Expertise and anticipated behaviors that illustrate how our staff ought to work day-after-day to achieve success and strengthens our means to execute towards our strategic priorities.

Variety is a key enterprise crucial and a supply of power at Citi. We serve shoppers from each stroll of life, each background and each origin. Our objective is to have our workforce mirror this similar variety at all ranges. Citi has made it a precedence to foster a tradition the place the perfect individuals need to work, the place people are promoted based mostly on benefit, the place we worth and demand respect for others and the place opportunities to develop are extensively out there to all.

Place Goal:

This place will help Mannequin Danger Administration for ICG Markets pricing derivatives fashions. Main duties will probably be to validate and mannequin danger handle Credit by-product pricing fashions for Buying and selling and Hedges. This place requires robust by-product pricing expertise together with related business expertise. Validation work will contain reviewing mannequin assumptions, verifying the mathematical formulation, independently implementing the enterprise/desk mannequin when wanted, creating benchmark fashions to conduct efficient problem, and assessing and quantifying mannequin limitations to tell stakeholders of mannequin danger to find out compensating controls.

Job Duties:

  • Handle mannequin danger throughout the mannequin lifecycle together with mannequin validation, ongoing efficiency analysis and annual mannequin evaluations.
  • Present steerage to junior validators as and when needed
  • Handle stakeholder interplay with mannequin builders and enterprise house owners through the mannequin lifecycle.
  • Symbolize the financial institution in interactions with regulatory businesses, as required.
  • Current mannequin validation findings to senior administration and supervisory authorities.
  • Present efficient problem to mannequin assumptions, mathematical formulation, and implementation
  • Assess and quantify mannequin danger because of mannequin limitations to tell stakeholders of their danger profile and improvement of compensating controls.
  • Contribute to strategic, cross-practical initiatives inside the mannequin danger group.
  • Minimal of Grasp's diploma in a quantitative subject (physics, arithmetic, pc science, and so forth.) with 6 years of related expertise.
  • Fewer years of related expertise shall be thought-about for candidates with greater educational qualifications and/or certifications comparable to a PhD, a second Grasp's diploma, CPA or CFA
  • Expertise in a quantitative position in danger administration at a monetary establishment with expertise in both mannequin improvement or validation, ideally expertise in modeling of Credit by-product merchandise
  • Robust by-product pricing expertise a should (stochastic calculus, numerical methods, coding in C /python).
  • Robust communication expertise with the power to find sensible options to difficult issues
  • Workforce work and dedication a should.


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Credit Derivatives Pricing Models Validator at Citi (Lengthy Island Metropolis)


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