Model Validation Manager - Algorithmic Trading - VP

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Citi
  • 20 Apr 19

Model Validation Manager - Algorithmic Trading - VP

  • Primary Location: United Kingdom,England,London
  • Education: Master's Degree
  • Job Function: Risk Management
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 19012812


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:
  • 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 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


Knowledge, skills and experience required:
  • Minimum Master's degree in a Quantitative background (statistics, machine learning, quantitative finance, financial mathematics, econometrics, physics, mathematics) with  solid experience

  • Strong experience in time series analysis, optimisation, 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 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

  • 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.

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Va luing Diversity:

Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success.

Citi is an Equal Opportunities Employer