Citi Group Model Validator - Pricing Algorithmic Trading Models 

Poland, Masovian Voivodeship, Warsaw 

174103731

The Model Validator - Pricing and Algorithmic Trading Models is a seasoned professional role. Applies in-depth disciplinary knowledge, contributing to the development of new techniques and the improvement of processes and workflow for the area or function. Integrates subject matter and industry expertise within a pricing and algorithmic trading areas. Requires in-depth understanding of risk neutral valuation framework and optimal expectation models. Evaluates moderately complex and variable issues with substantial potential impact, where development of an approach/taking of an action involves weighing various alternatives and balancing potentially conflicting situations using multiple sources of information. Requires good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Strong communication and diplomacy skills are required. Regularly assumes informal/formal leadership role within teams. Involved in coaching and training of new recruits.

Responsibilities:

• Develops, enhances, and validates the methods of measuring and analyzing risk, for models from pricing and algorithmic trading areas. Also, may develop, validate and strategize uses of market risk models.
• Applies quantitative and qualitative data analysis methods including Python and R to extract, transform and analyze data.
• Conducts data analysis, data mining, read and create formal statistical documentation, reports and work with Technology to address issues.
• Uses Predictive modeling methods, optimizing monitoring systems, document optimization solutions, and present results to non-technical audiences; create formal documentation using statistical vocabulary.
• Generates statistical models to improve methods of obtaining and evaluating quantitative and qualitative data and identify relationships and trends in data and factors affecting research results.
• Validates assumptions; escalate identified risks and sensitive areas in methodology and process.
• Automates data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes, and provide documentation and presentations.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

• 3-5 year's experience.
• Master's degree or equivalent experience.
• Proficient in Microsoft Office, Python and R.
• Knowledge of pricing models: Black-Scholes models, binomial and trinomial trees, risk neutral valuation framework and Algorithmic Trading models.
• Consistently demonstrates clear and concise written and verbal communication skills.
• Self-motivated and detail oriented.
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time.

We offer:

• Work in a challenging area of the financial industry with one of the world's leading companies with exposure to variety of products, processes, and controls.
• Cooperation with a high quality, international, multicultural, and global team.
• Work in a friendly and diversified environment, appreciating differences in style and perspective and using them to add value to decisions leading to organizational success.
• Management supporting balanced and agile work (flexible working hours, home office).
• Attractive benefits package (Benefit System, medical care, pension plan etc.).
• A chance to make a difference with various affinity networks and charity initiatives.

Time Type:

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