Data Scientist - Algorithmic Trading Models

  • Competitive
  • Warsaw, Mazowieckie, Poland
  • Permanent, Full time
  • Citi
  • 18 Apr 19

Data Scientist - Algorithmic Trading Models

  • Primary Location: Poland,Mazowieckie,Warsaw
  • Education: Master's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 19013008


Description


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.

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 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


Qualifications

Requirements:
  • 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 


We offer: 
  • 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