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: Yes, 10 % of the Time
Job ID: 19013314
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.
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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:
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 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
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