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Citi
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London, Greater London
Risk - Senior Model Validation Quant - Risk Models - C13
Overview
Job Description
**Overview of Citi:** Citi, the world leading global bank, has approximately 200 million customer accounts and a presence in more than 160 countries and jurisdictions worldwide. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Citi enables clients to achieve their strategic financial objectives by providing them with cutting-edge ideas, best-in-class products and solutions, and unparalleled access to capital and liquidity. **Role / Position Overview:** We are looking for a Model Risk manager and Validator for validating Risk models, which includes Credit Risk, Market Risk, Counterparty Credit Risk, Structured Risk, Operational Risk, and Liquidity Risk models for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements. Primary responsibilities will be to validate and model risk manage Market Risk and Counterparty Credit Risk models. Our rigorous validations including the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the assessment of using the model for regulatory and business applications. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk. **Key Responsibilities:** + Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews. + Provide guidance to junior validators as and when necessary + Manage stakeholder interaction with model developers and business owners during the model lifecycle. + Represent the bank in interactions with regulatory agencies, as required. + Present model validation findings to senior management and supervisory authorities. + 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. + Contribute to strategic, cross-functional initiatives within the model risk organisation. **Qualifications:** + Minimum of Master's degree in a quantitative field (physics, mathematics, statistics, finance, computer science, etc.) with relevant years of experience + Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master's degree, or CFA + Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally experience in modeling of Counterparty Credit Risk and Market Risk. + Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models. + Good knowledge of financial products, financial mathematics, pricing methodologies, numerical techniques, risk management, Basel/CCAR regulatory requirements. + Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra. + Strong communication skills in both verbal and written are required as the work involves frequent interaction with model developers, risk managers, other stakeholders as well as internal/external audit and regulators. + Solid writing skills. Publications in peer-reviewed journals are considered as good evidence. + Programming skills: C/C++, Python, Matlab, SAS, R, Java, Oracle and SQL. + Team work and commitment a must. _Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience._ ----- Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - GB ----- Time Type : ----- Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity. Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity CLICK HERE at . To view the "EEO is the Law" poster CLICK HERE at . To view the EEO is the Law Supplement CLICK HERE at . To view the EEO Policy Statement CLICK HERE at . To view the Pay Transparency Posting CLICK HERE at . Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.