Derivatives Pricing Models Validator, Citi

Citi

Location:
United Kingdom, London

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

Vice President role in Model Risk Validation Team at Citi, focusing on FX and FX/IR hybrid option derivatives pricing models. The role involves independent challenge and thought leadership, leveraging deep quantitative expertise to deliver value-added perspectives and advisory services.

Job Responsibility:

Validate and manage model risk for derivative pricing models used in Trading and Hedges
Provide effective challenge to the model development process
Independently implement business/desk models when necessary
Implement tests to examine model behavior under diverse scenarios and market conditions
Assess developer testing and ensure identified gaps are remediated
Assess and quantify model limitations
Manage model risk throughout its entire lifecycle
Challenge pricing model assumptions, mathematical formulations, and implementations
Collaborate with senior personnel to produce high-quality validation reports
Manage stakeholder interactions with model developers and business owners
Assist in bank interactions with regulatory agencies

Requirements:

Minimum of a master's degree in a quantitative field such as physics, mathematics, or engineering
Up to 2 years of relevant professional experience
Prior experience in modelling of FX derivative products
Experience with Rates, Equity, and Commodity derivatives
Strong proficiency in derivative pricing concepts including stochastic calculus and numerical techniques
Robust coding skills in C++ and Python
Excellent communication skills
Demonstrated commitment to teamwork and strong collaborative capabilities
Self-motivated approach with meticulous attention to detail
Proven project management and organizational skills

Nice to have:

Higher academic qualifications (PhD or second master's degree)
Professional certifications (CPA or CFA)
Experience with FX/IR hybrid option derivatives

What we offer:

Competitive base salary (annually reviewed)
Generous holiday allowance starting at 27 days plus bank holidays
Discretional annual performance related bonus
Private medical insurance packages
Employee Assistance Program
Pension Plan
Paid Parental Leave
Special discounts for employees, family, and friends
Access to learning and development resources
Hybrid working model (up to 2 days working at home per week)

Additional Information:

Job Posted:
September 30, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Derivatives Pricing Models Validator