• Equity Derivatives Pricing Model Validator - AVP Jobs in United States Of America

  • Citibank India
  • United States Of America, Usa
  • Save Job
  • 3 - 6 Years
  • Posted : above 1 month

Job Description:

Equity Derivatives Pricing Model Validator - AVP - 19036380

Description

About Citi

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions 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 Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients

Citis Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress We strive to earn and maintain our clients and the publics trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities

Diversity is a key business imperative and a source of strength at Citi We serve clients from every walk of life, every background and every origin Our goal is to have our workforce reflect this same diversity at all levels Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all

Validate and model risk manage Equity derivative pricing models for Trading and Hedges This position requires strong derivative pricing skills along with relevant industry experience Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls

Job 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 organization

Qualifications

Minimum of Masters degree in a quantitative field (physics, mathematics, financial engineering, computer science, etc) with 3 years of relevant experience

Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Masters degree, CPA 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 Equity derivative products

Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C /python)

Strong communication skills with the ability to find practical solutions to challenging problems

Team work and commitment a must

EEO Statement Citi is an equal opportunity and affirmative action employer Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity Pay Transparency Citi wont discriminate against anyone for discussing pay, but those with access to pay data in their work cant disclose it unless responding to complaints/investigations or legal requirements

Profile Summary:

Employment Type : Full Time
Eligibility : Any Graduate
Industry : Banking
Functional Area : Accounting/Tax/Company Secretary/Audit
Role : Cost Accounting/ ICWA
Salary : As per Industry Standards
Deadline : 07th Jan 2020

Key Skills:

Company Profile:

Company

Website

Industry

Company Turnover

Company Size

People who search this job also searched for the following Keywords

All rights reserved © 2018 Wisdom IT Services India Pvt. Ltd DMCA.com Protection Status