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Senior Validation Analyst - Credit Derivatives

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Citi

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Location:
Poland , Warsaw

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Category:
Finance

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Contract Type:
Employment contract

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Salary:

Not provided
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Job Description:

This role sits in the credit derivatives and structured product market valuation 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 credit derivatives and structured products and modelling approaches, and should have experience developing models either in a Front Office or Model Validation role.

Job Responsibility:

  • 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
  • Provide subject matter expertise to stakeholders and guidance to junior team members
  • Represent the firm in interactions with regulatory agencies
  • Contribute to strategic, cross-functional initiatives within MRM as needed

Requirements:

  • 5+ years of relevant working experience
  • Solid knowledge of credit derivatives and structured products and analytics
  • Knowledge of 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
  • 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

Nice to have:

  • Knowledge and understanding of Rates and XVA
  • Knowledge of C++
What we offer:
  • 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
  • Discretional annual performance related bonus

Additional Information:

Job Posted:
October 09, 2025

Employment Type:
Fulltime
Work Type:
Hybrid work
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