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Model Validation Quant VP - Counterparty Credit Risk

Citi Group
Model Validation Quant VP - Counterparty Credit Risk
New York, US
132,000 - 198,000
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Job Description

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.

Citi’s 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 public’s 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 to are widely available to all.


We are looking for model validator to validate 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 documents, and managing model risk on an ongoing basis.


  • 2+ 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
  • Programming skills
  • 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
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