Model/Anlys/Valid Officer-Vp Model Risk Management

Citigroup Inc. New York , NY 10007

Posted 4 weeks ago

  • Primary Location: United States,New York,Long Island City

  • Education: Master's Degree

  • Job Function: Risk Management

  • Schedule: Full-time

  • Shift: Day Job

  • Employee Status: Regular

  • Travel Time: Yes, 10 % of the Time

  • Job ID: 19013314

Description

About Citi

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Model Validation Senior Manager 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.

This senior manager role will be leading a team of validators responsible for 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 understand how these models are developed and be involved in developing validation guidelines 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 createde

Trading 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 assessment,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

Qualifications

  • Minimum Master's degree in a Quantitative background (statistics, machine learning, quantitative finance, financial mathematics, econometrics, physics, mathematics) with 5 years of experience

  • Strong experience in time series analysis, optimization, probability theory, statistics, machine learning and deep learning

  • Previous experience in Algo-trading, from a quant development, trading, risk or model validation perspective

  • Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master's degree.

  • Strong knowledge of at least one of the following programming language-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

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Model/Anlys/Valid Officer-Vp Model Risk Management

Citigroup Inc.