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Citi & Citi Handlowy
Data Scientist - Algorithmic Trading Models
Citi & Citi Handlowy
location iconLocations: Warszawa
level iconLevel: specialist
Citi is more than a global financial services company. It's an engine for progress. We serve 200 million customers in more than 160 countries, providing support to individual, corporate, government and institutional clients. Our clients choose us for a global footprint, market positon, in-country relationships and the full range of solutions on offer. In Poland we operate within two legal entities Citibank Europe plc and Bank Handlowy w Warszawie S.A.
Data Scientist - Algorithmic Trading Models
Work place: Warszawa

The Model Validation Group are looking for a candidate with a strong background in statistics, quantitative finance and econometrics.

The role will be responsible for a comprehensive assessment of models used within Citi in algorithmic trading (Algo-trading) activities across ICG Markets business. This is an exciting new opportunity as Citi looks to build a new team in Model Risk Management in this emerging area for validation.

This position is a unique opportunity to learn how models are developed and validated in a global organization such as Citi in algorithmic trading systems. Citi is a global institution which has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.

Model Risk Management:

The team is part of the Model Risk Management Group and the individual will work closely with Algo-trading stakeholders including quants and traders. 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:

Primarily to 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:

  • Perform an assessment of the back testing framework for Algo-trading models
  • Perform a review of the ongoing performance monitoring of the trading algorithms
  • Validate the mathematical model used by the trading strategy
  • Deliver high-quality validation reports, highlighting risks and limitations of the model for the intended usage

Requirements:

  • Minimum Master’s degree in a Quantitative background (statistics, machine learning, quantitative finance, financial mathematics, econometrics, physics, mathematics or other quantitative field).
  • 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 would be preferable
  • Previous experience in Algo-trading, from a quant development, trading, risk or model validation perspective would be advantageous but not required

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
Please be informed that we will contact selected candidates only.

Citi and Citi Handlowy are registered trademark of Citigroup Inc., used under license. Citigroup Inc. and its subsidiaries are also entitled to rights to certain other trademarks contained herein.

www.citihandlowy.pl
Bank Handlowy w Waszawie S.A
www.citibankeurope.pl
Citibank Europe PLC

This job is no longer available

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