Citi Model Validation Senior Manager – Algorithmic Trading in Long Island City, New York
Primary Location: United States,New York,Long Island City
Education: Master's Degree
Job Function: Risk Management
Shift: Day Job
Employee Status: Regular
Travel Time: No
Job ID: 19037099
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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:
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.
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
Manage the validation workflow
Assist with responding to regulatory and audit related queries
Minimum Master’s degree in a Quantitative background(statistics, machine learning, quantitative finance, financialmathematics, econometrics, physics, mathematics) with 5 years of experience
Strong experience and understanding of time seriesanalysis, linear and non-linear regression approaches so at to be able toassess assumptions and validate such models.
Experience in statistics, optimisation, probabilitytheory, machine learning and deep learning.
Previous experience in Algo-trading, from a quantdevelopment, trading, risk or model validation perspective
Fewer years of relevant experience will be consideredfor candidates with higher academic qualifications and/or certificationssuch as a PhD, a second Master’s degree.
Strong knowledge of at least one of the followingprogramming languages – Python or R. Knowledge of languages as C++, Java,C# or Julia would be an asset
Ability to clearly and concisely formulate findings ina written form
Good communication skills and able to explaintechnical details clearly
Team player able to work with colleaguescollaboratively and stakeholders across multiple jurisdictions globally
Ability to work independently with strong work ethicin a challenging and emerging area for model validation
Knowledge of financial markets and products in FX,Equities, Credit, Commodities or Rates
Citi is an equal opportunity and affirmative action employer. Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.
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