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Overview:

This role sits in the credit derivatives and structured products 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. Knowledge and understanding of Rates and XVA would be valuable. Experience with term structure model is preferred. A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected.

The ability to work well with senior stakeholders within the firm and with our regulatory colleagues is essential. This role has high visibility and growth potential--clear communication and subject matter expertise are critical. You will be interacting with senior members of the Front Office, Market Risk, Finance, and regulatory agencies as required.

Responsibilities:

+ 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, internal audio requirements, and regulatory guidance.

+ Provide subject matter expertise to stakeholders and guidance to junior team members.

+ Represent the firm in interactions with regulatory agencies, as required.

+ Contribute to strategic, cross-functional initiatives within MRM as needed.

Qualifications:

+ 7+ years of relevant working experience.

+ Solid knowledge of credit derivatives and structured products and analytics, 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 are required.

+ 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; PhD preferred.

+ Candidates who do not meet these criteria but with exceptional skills and academic qualification and/or certifications may be considered for the role.

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Primary Location:

Long Island City New York United States

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Primary Location Full Time Salary Range:

$176,720.00 - $265,080.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Most Relevant Skills

Analytical Thinking, Business Acumen, Credible Challenge, Data Analysis, Governance, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Aug 05, 2025

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_Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law._

_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 review Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm) ._

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Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.