Citigroup Model Validation Quant Officer Tampa - Counterparty Credit Risk in Tampa, Florida
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We are looking for model validator for validating risk models with the primary area being Counterparty Credit Risk. The validation covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include performing and reviewing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk on an ongoing basis.
0+ years relevant experience
Knowledge of financial instruments, simulation and pricing methodologies, risk estimation and regulatory requirements
Sound knowledge of stochastic calculus, numerical methods and statistics
Strong communication skills both verbal and written
Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
Ability to work independently
Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable
- A Master’s degree or higher in a quantitative field (Mathematics, Physics, Engineering, Finance, Economics, Statistics, etc.) with relevant coursework and experience
Job Family Group:
Risk Analytics, Modeling, and Validation
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