Model Risk Validator (Pricing Models)

Single PositionExplore a Career With UsView All JobsHybridModel Risk Validator (Pricing Models)WARSAW, Poland No longer accepting applications.Job ID26972267Date posted06/14/2026DepartmentRisk ManagementAre 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...