Model Risk Validator; Pricing Models

Model Risk Validator (Pricing Models)

Location(s): Warsaw, Mazovia, Poland

Job Type: Hybrid

Posted: Jul. 01, 2026

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.

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.

• 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:
  Use advanced mathematical and statistical techniques to critically evaluate and challenge the assumptions, formulas, and implementation of various financial models.

• Hands‑on Testing & Coding:
  Design and execute effective tests to assess how models perform in both normal and stressed economic scenarios. Contribute to the team's Python‑based codebase used for benchmarking and challenging front‑office models.

• Independent Model Replication:
  Build independent replicas of business models to verify their accuracy and stability, providing a crucial second line of defence against model error.

• Risk Quantification & Mitigation:
  Identify the limitations of models, quantify the associated risks, and work with stakeholders to establish controls that lessen the impact of these limitations.

• Stakeholder
  
  Collaboration:
  
  Continuously collaborate with model developers, trading desks, and senior management to communicate validation findings and manage the model lifecycle.

• Reporting & Communication:
  Create detailed validation reports and assist in presenting findings to internal stakeholders and external regulatory agencies.

• 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.

• Proficiency 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.

• Familiarity 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.

• 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 at preferential rates.

• Employer paid Life Insurance Program for employees and Life Insurance for certain family members at preferential rates.

• Employee Assistance Program financed by Employer.

• Paid Parental Leave Program (maternity and paternity…