Quantitative Risk Model Validator

2 weeks ago


Atlanta, Georgia, United States Citigroup Inc Full time

Company Overview:
Citigroup Inc. is a leading global bank committed to providing innovative financial solutions and services.

Position Overview:
We are seeking a dedicated Quantitative Risk Model Validator to join our team. This role is essential in ensuring the integrity and reliability of our algorithmic trading models.

Key Responsibilities:
1. Oversee the validation process in accordance with Citi's Model Risk Management framework and standards.
2. Conduct comprehensive assessments of algorithmic trading models, identifying potential risks and limitations, and recommend appropriate remediation strategies.
3. Foster effective communication and collaboration with stakeholders, including model developers, traders, risk managers, and product controllers, to facilitate model validation and performance monitoring.
4. Critically evaluate the quality and comprehensiveness of performance testing for algorithmic trading models, providing independent challenges to front office-developed models.
5. Analyze the appropriateness of mathematical modeling approaches for algorithmic trading applications.
6. Assist in addressing regulatory and audit inquiries.
7. Manage model risk through continuous performance monitoring and annual reviews of algorithmic trading models.
8. Supervise and mentor junior validators, ensuring adherence to Citi's Model Risk Management policies and procedures.
9. Prepare and deliver presentations on validation and testing frameworks for electronic trading models.

Qualifications:
Applicants should possess a Master's degree or its foreign equivalent in a quantitative discipline such as Quantitative Finance, Financial Engineering, Statistics, Mathematics, Physics, Finance, or Economics, along with three years of relevant experience in roles such as Quantitative Analyst, Model Validation Analyst, Model Risk Analyst, or Data Scientist.

Experience Requirements:
Candidates must demonstrate:
- Expertise in Quantitative Research.
- Proficiency in Python and software development best practices (Pandas, NumPy, SciPy, SciKit).
- Familiarity with KDB/q.
- Knowledge of electronic trading systems, particularly in FX markets.
- Experience in processing transactional and market data in large-scale environments.
- Advanced skills in applied statistics, time series analysis, data mining, optimization techniques, and linear algebra, including modern machine learning techniques.
- Understanding of financial markets and FX trading, including market microstructure.

Compensation:
The wage range for this position is competitive and commensurate with experience.

Job Family Group:
Risk Management

Job Family:
Risk Analytics, Modeling, and Validation



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