Hybrid Commodity Model Validator – Pricing & Risk

Citi; Warszawa; Hybrid; PLN 165,000 - 281,000; Full time

Benefits offered by this job

Employer paid Pension Plan 6%

Private Medical Care for employees

Life Insurance

Parental Leave

Sport Card

Employee Assistance Program

Cafeteria / flex benefits

Annual incentive

Job summary

Citi Solutions Centre Poland in Warsaw is seeking a qualified professional to join the Commodity Model Validation Team. You will validate derivative-pricing models for commodities, work with traders and quants, and apply stochastic calculus, probability theory, and numerical methods.

The role offers a hybrid work model (up to 2 days at home per week), competitive base salary in PLN, and a comprehensive benefits package.

Qualifications

• Bachelor's degree in Finance, Economics, or quantitative discipline required; Master's preferred.
• 2+ years of relevant work experience.
• Proficient with Microsoft Office Suite (Excel, PowerPoint, Word).
• Strong project management and delivery of high-quality work.
• Derivative-pricing skills including stochastic calculus and numerical techniques.
• Experience in mathematical modelling and model validation is a plus.
• Experience with models used to price financial derivatives and Python development.
• Familiar with collaborative development tools such as Git and with clear written communication.

Responsibilities

• Manage model-related risks across the institution for commodities; conduct independent validations.
• Apply advanced mathematical and statistical techniques to challenge model assumptions, formulas and implementation.
• Design and execute tests to assess model performance in normal and stressed scenarios; contribute to Python-based codebase.
• Build independent replicas of business models to verify accuracy and stability.
• Identify model limitations, quantify risks, and collaborate to establish controls.
• Communicate validation findings to stakeholders and assist in model lifecycle management.
• Prepare high-quality validation reports and present findings to stakeholders and regulators.

Skills

Python

Stochastic calculus

Probability theory

Numerical methods

Model validation

Derivative pricing

Communication skills

Problem solving

Education

Bachelor's degree in Finance, Economics, or quantitative discipline

Master's degree preferable

Tools

LaTeX

Git

Job description

Citi Solutions Centre Poland in Warsaw is seeking a qualified professional to join the Commodity Model Validation Team. You will validate derivative-pricing models for commodities, work with traders and quants, and apply stochastic calculus, probability theory, and numerical methods.

The role offers a hybrid work model (up to 2 days at home per week), competitive base salary in PLN, and a comprehensive benefits package.