Model Risk Quant - CVA
Citi
Warszawa, MA, POL
4 d. temu

Description

The role will be the in the Model Risk Management Group validating CVA models. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls.

Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.

This will involve working closely with business stakeholders including quants, IT developers and traders as well as other control functions.

Job Responsibilities :

  • Review the underlying theory, assumptions, limitations, implementation and testing of the models
  • Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
  • Manage stakeholder interaction with model developers and business owners during the model lifecycle.
  • 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.
  • Qualifications

  • Minimum of Master’s degree in a quantitative field (physics, mathematics, computer science, etc.) with experience in the financial industry.
  • Fewer years of relevant experience will be considered for candidates with higher academic qualifications and / or additional certifications such as a PhD, second Master’s degree or CFA.
  • Ideally experience in modelling of credit derivative products or counterparty valuation models.
  • Strong derivative pricing skills a must (risk neutral pricing, stochastic calculus, numerical techniques).
  • Strong communication skills (both verbal and written) with the ability to find practical solutions to challenging problems.
  • Solid writing skills : publications in peer-reviewed journals, industry presentations, etc. are considered as good evidence.
  • Programming skills : C / C++ or Python preferable
  • Teamwork and commitment a must.
  • What would you get in return :

  • Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading companies
  • Centrally located, state-of-the-art workplace, which boosts productivity and provides the employees with areas designed specifically for team building and relax
  • Access to the latest technologies and tools
  • Exposure to a wide range of internal stakeholders as well as to senior management
  • International working environment
  • The package of trainings
  • Flexibility in working hours
  • Attractive conditions of employment and benefit
  • Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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