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Model Validation Analyst – Algorithmic Trading

Job ID 21244612 Primary Location Warsaw, Poland; Job Category Risk Management
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Model Validation Analyst – Algorithmic Trading

The eTrading Model Validation team are looking for a candidate with a strong background in statistics, quantitative finance and econometrics to join a newly created team in Model Risk Management.

The role will be responsible for a comprehensive assessment of models used within Citi in algorithmic trading (Algo-trading) activities across ICG Markets business.  The automation of trading across the industry and the potential risks posed by these strategies for financial stability are leading to increased focus by regulators for the industry to evolve second line challenge and governance around development and testing of these systems. In addition, the models and methodologies used across the market is becoming ever more complex with the application of artificial intelligence techniques. Citi’s Model Risk Management Group is building a team to provide effective independent review and challenge of these emerging models.

This position is a unique opportunity to learn how these models are developed and validated for algorithmic trading systems in a Tier one Global Investment Bank. Citi's Institutional Clients Group is comprised of diverse, talented professionals globally located in more than 100 countries and territories, collectively representing an unparalleled international network of financial skills and capabilities serving targeted clients. Our clients are top corporations, financial institutions and governments in countries around the world and our mission is to help them achieve their goals.

Model Risk Management:

The newly created eTrading Model Validation team is part of Citi’s Global Model Risk Management Group. The team work closely with Algo-trading stakeholders including quants and traders providing independent challenge of models developed in the front office. The mandate includes:

  • Model validation

  • Risk rating of models

  • Ongoing model performance review

The main objective is to ensure that algorithmic models are used appropriately by the business and that model users are aware of the models’ limitations and weaknesses that should be mitigated by compensating controls.

Job Responsibilities:

Perform an independent validation of Algo-trading models across Equities, FX, Commodities, Rates and Credit in line with Citi Model Risk Management Standards. This includes:

  • Critically review the testing framework for algo-trading models

  • Produce high value add model assessments, highlighting risks and limitations of the model.

  • Assessment of the ongoing performance monitoring of the algo-trading models

  • Validate the mathematical model used by the algo-trading models

Requirements:

  • Minimum Master’s degree in a Quantitative background (statistics, machine learning, quantitative finance, financial mathematics, econometrics, physics, mathematics or other quantitative field)

  • Strong knowledge of at least one of the following programming languages – Python or R. Knowledge of languages as C++, Java, C# or Julia would be an asset

  • Ability to clearly and concisely formulate findings in a written form

  • Good communication skills and able to explain technical details clearly

  • Team player able to work with colleagues collaboratively and stakeholders across multiple jurisdictions globally

  • Ability to work independently with strong work ethic in a challenging and emerging area for model validation

  • Knowledge of financial markets and products in FX, Equities, Credit, Commodities or Rates would be preferable

  • Previous experience in Algo-trading, from a quant development, trading, risk or model validation perspective would be advantageous but not required

  • Knowledge of time series analysis, optimisation, probability theory, statistics, machine learning and deep learning would be advantageous

What we offer:

  • Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes and controls

  • Cooperation with a high quality, international, multicultural and global team

  • Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success

  • Management supporting balanced and agile work (flexible working hours, home office)

  • Attractive benefits package (Benefit System, medical care, pension plan etc.)

  • A chance to make a difference with various affinity networks and charity initiatives

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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