Quantitative Risk Analyst – Algorithmic Trading
The eTrading Model Validation Team is looking for a Quantitative Risk Analyst with a strong background in statistics, quantitative finance and econometrics. The position requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Additionally, strong communication and diplomacy skills are essential.
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.
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.
About the Team:
The eTrading Model Validation team is part of Citi’s Global Model Risk Management Group. The team work closely with algo-trading stakeholders including quants, model developers and traders providing independent challenge of models developed in the front office. The mandate includes:
- Model validation and performance review
- Identification of model weaknesses and limitations
- Risk rating of models
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.
Perform an independent validation of algo-trading models across Equities, FX, Commodities, Rates and Credit. This includes:
- Design and implement the testing framework for algo-trading models (this includes backtesting, statistical, sensitivity and stress testing)
- Reimplement models using Python based on the documentation provided by developers
- Produce high value add model assessments, highlighting risks and limitations of the model
- Assessment of the ongoing performance of the algo-trading models (this includes descriptive statistics and transaction cost analysis)
- Validate the mathematical model used by the algo-trading models
- Prepare a validation report with clear and concise summary of key findings and research
- Minimum Master’s degree in a Quantitative background (statistics, machine learning, quantitative finance, financial mathematics, econometrics, physics, mathematics or other quantitative field) with 2+ years of experience
- Exceptional candidates with fewer years of relevant experience might be also considered for the position (e.g. individuals with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree)
- Strong knowledge of time series analysis, optimization, probability theory and statistics is essential. Machine learning experience would be advantageous
- Sound knowledge of at least one of the following programming languages – Python or R. Knowledge of SQL or kdb/Q languages would be an asset
- Knowledge of algo-trading business (execution, market-making, hedging strategies) would be advantageous
- 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
- 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
Job Family Group:Risk Management
Job Family:Risk Analytics, Modeling, and Validation
Time Type:Full time
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.
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