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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 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:
Critical review of the testing framework for algo-trading models
Production of high value add model assessments, highlighting risks and limitations of the model
Assessment of the ongoing performance; monitoring of the algo-trading models
Validation of the mathematical model used by the algo-trading models
Minimum Master's degree in a Quantitative background (statistics, machine learning, data science, quantitative finance, financial mathematics, econometrics, physics, mathematics or other quantitative field)
Ideally 3 years of experience, however talented candidates with fewer years of experience will be considered
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
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
Strong knowledge of time series analysis, optimisation, probability theory, statistics, machine learning and deep learning would be highly advantageous
What would you get in return:
A unique opportunity to learn how algo-trading models are developed and validated in a Tier one Global Investment Bank
Cooperation with a high-quality team in a challenging area of the financial industry with one of the world's leading companies
Centrally located, state-of-the-art workplace, which boosts productivity and provides the employees with areas designed specifically for team building and relax
Access to the latest technologies and tools
Exposure to a wide range of internal stakeholders as well as to senior management
International working environment
The package of trainings
Flexibility in working hours
Attractive conditions of employment and benefit
Internal Number: 5912971
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