Senior Validation Analyst - Credit Derivatives, Citi

Citi

Location:
Poland, Warsaw

Category:
Finance

Contract Type:
Employment contract

Salary:

Not provided

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Job Description:

This role sits in the credit derivatives and structured product 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.

Job Responsibility:

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
Provide subject matter expertise to stakeholders and guidance to junior team members
Represent the firm in interactions with regulatory agencies
Contribute to strategic, cross-functional initiatives within MRM as needed

Requirements:

5+ years of relevant working experience
Solid knowledge of credit derivatives and structured products and analytics
Knowledge of 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
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

Nice to have:

Knowledge and understanding of Rates and XVA
Knowledge of C++

What we offer:

Private Medical Care Program
Life Insurance Program
Pension Plan contribution (PPE Program)
Employee Assistance Program
Paid Parental Leave Program (maternity and paternity leave)
Sport Card
Holidays Allowance
Sport and team recreation activities
Special offers and discounts for employees
Access to an array of learning and development resources
Discretional annual performance related bonus

Additional Information:

Job Posted:
October 09, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Senior Validation Analyst - Credit Derivatives