Senior Validation Analyst - Credit Derivatives

Senior Validation Analyst - Credit Derivatives | Citi Careers

• Validate models and manage model risk related issues in credit derivatives and structured products pricing area.
• 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.

• 5+ years of relevant working experience.
• Solid knowledge of credit derivatives and structured products and analytics, term structure models, and industry best practices.
• Knowledge and understanding of Rates and XVA would be valuable.
• Excellent quantitative and analytic skills, including 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.
• Master’s Degree or equivalent in a quantitative field (e.g. Mathematics, Physics, Engineering, Quantitative Finance, Statistics) is required.

• Private Medical Care Program
• Life Insurance Program
• Pension Plan contribution (PPE Program)
• Employee Assistance Program
• Paid Parental Leave Program (maternity and paternity leave)
• Sport Card
• Holidays Allowance
• Sport and team recreation activities
• Special offers and discounts for employees
• Access to an array of learning and development resources
• Discretionary annual performance related bonus

Discover your future at Citi