Quant jobs / Citi

Model Validation 2nd LOD Senior Lead Analyst

An independent validation role covering credit derivatives pricing and risk models at Citibank's second line of defence. You challenge the maths and code behind front-office models and write up the findings.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Examine model development documents and challenge assumptions and conceptual soundness
Build independent benchmark models to cross-check front-office credit derivatives pricing
Run stress, back-testing and scenario analysis on model outputs
Write Python tools to automate validation testing
Produce LaTeX validation reports for developers and stakeholders

What they ask for

Required

Model development and validation experience
Credit derivatives and fixed income valuation
Statistical and numerical techniques
Python or R
Mathematical finance background
Technical report writing

Education: Master's degree in mathematical finance, financial engineering, applied maths, statistics, computational finance, physics or similar
Experience: 3 years in quant analysis, model validation or development, or a related role
Languages and tools: Python
R
LaTeX
Markets: credit, fixed-income

How to prepare

Implement a CDS pricer and a simple credit curve bootstrap, then build an independent second version to compare
Study reduced-form and copula credit models and their known weaknesses
Practise back-testing and sensitivity analysis on a pricing model
Write a short validation report in LaTeX covering assumptions, tests and limitations

What to study

The Model Validation Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

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View the posting on Citi’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Citi and doesn’t handle applications.