Model Risk Validator (Pricing Models)

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

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills in advanced mathematics and statistics, along with problem solving and communication abilities, to Citi's Commodity Model Validation Team.

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team / Role Overview:

This position supports Model Risk Management with models focused on pricing commodity products, including exotic derivatives. The primary responsibilities are to validate and manage the risks of derivative-pricing models for trading and hedging. This position requires a sound background in stochastic calculus, probability theory, and numerical methods. Strong Python skills are a distinct advantage. The validation role aims to ensure an effective challenge to the model-development process. The specific responsibilities for this role are detailed below.

The successful candidate will have daily interaction with commodity quants. The team encourages members to be self-starters. This position is a unique opportunity to learn how models are developed and validated in an organization such as Citi, which has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.

What you'll do:

• Manage model-related risks across the entire institution for commodities. Conduct independent validations, monitor model performance, and perform reviews to ensure models are sound and fit for purpose.
• Technical Analysis & Challenge: You will use advanced mathematical and statistical techniques to critically evaluate and challenge the assumptions, formulas, and implementation of various financial models.
• Hands-on Testing & Coding: You will design and execute effective tests to assess how models perform in both normal and stressed economic scenarios. This includes contributing to the team's Python-based codebase used for benchmarking and challenging front-office models.
• Independent Model Replication: Part of the activity involves building independent replicas of business models to verify their accuracy and stability, providing a crucial second line of defence against model error.
• Risk Quantification & Mitigation: You will be responsible for identifying the limitations of models, quantifying the associated risks, and working with stakeholders to establish controls that lessen the impact of these limitations.
• Stakeholder Collaboration: The role requires continuous collaboration with a wide range of internal parties, including model developers, trading desks, and senior management, to communicate validation findings and manage the model lifecycle.
• Reporting & Communication: You will contribute to creating high-quality, detailed validation reports and assist in presenting these findings to both internal stakeholders and external regulatory agencies.

What we’ll need from you:

• A minimum of a Bachelor's degree in Finance, Economics, or a quantitative discipline (statistics, quantitative finance, econometrics). A Master's degree is preferable.
• 2+ years of relevant work experience.
• Proficient in the Microsoft Office Suite, especially Excel, PowerPoint, and Word.
• Project management skills with the ability to deliver high-quality work on time.
• Derivative-pricing skills, including stochastic calculus and numerical techniques.
• Experience in mathematical modelling. Experience in model validation is a plus.
• Experience in the development and/or implementation of models used to price financial derivatives.
• Strong computational skills with experience in Python.
• Familiar with compiling documents in LaTeX.
• Experience with collaborative development tools, such as Git would be a plus.
• Strong communication skills (speaking and writing) with the ability to find practical solutions to challenging problems.
• An understanding of model risk and corresponding techniques for validation testing.
• Experience interacting with the front office (traders/quants), and in commodity markets would be a plus.

What we can offer you

This is a role that'll offer you the opportunity to build an in-depth knowledge of financial services operations. Every day there will be new business challenges that will help you develop new skills that can drive your career. This specific role will enable you to get an in depth understanding of commodity market and associated derivative models.

By joining Citi Solutions Centre Poland, you will not only be part of a business casual workplace with a hybrid working model (currently up to 2 days working at home per week), but also (potentially, subject to final offer) receive a competitive base salary and enjoy a whole host of additional benefits which can include:

• Employer paid Defined Contribution Pension Plan contribution of 6% of employee's pensionable earnings (PPE Program)
• Employer paid Private Medical Care Package for employees and Private Medical Care Packages for certain family members available at preferential rates
• Employer paid Life Insurance Program for employees and Life Insurance for certain family members available at preferential rates
• Employee Assistance Program financed by Employer
• Paid Parental Leave Program (maternity and paternity leave; statutory and 2 weeks additional paid paternity leave)
• Sport Card for employees subsidised via Social Benefits Fund and Sport Cards for certain family members available at preferential rates
• Additional benefits from Company's Social Benefit Fund, in particular: Holidays Allowance, support for sport and cultural activities, team building events.
• Additional day off for volunteering
• Cafeteria/ flex benefit - a company benefits system which enables employees to select and purchase benefits offered by a provider and available for employees on the platform.
• Opportunity to receive an annual discretionary incentive award
• Special offers and discounts for employees.

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.

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Job Family Group:

Risk Management

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Job Family:

Model Validation

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Time Type:

Full time

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Primary Location Full Time Salary Range:

zł165,020.00 - zł280,980.00

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Most Relevant Skills

Analytical Thinking, Credible Challenge, Data Analysis, Governance, Policy, Procedure, and Regulation, Risk Management Lifecycle.

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Other Relevant Skills

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

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