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Model Validation SVP – Algorithmic Trading

  • Location

    new york, United States

  • Sector:

    Risk Management

  • Job type:

    Permanent

  • Salary:

    $160,000 - $200,000 + bonus

  • Contact:

    Corey Rague

  • Job ref:

    46437

  • Published:

    2 months ago

  • Expiry date:

    2020-08-11

  • Consultant:

    Corey Rague

JCW is currently working on a search for a Model Validation SVP – Algorithmic Trading with a leading global financial services organization for their New York City location. The qualified candidate will be responsible for a comprehensive assessment of models used within the firm in algorithmic trading (Algo-trading) activities across ICG Markets business.

Responsibilities include:

  • Perform an independent validation of Algo-trading models across Equities, FX, Commodities, Rates and Credit in line with firm 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

Position requirements:

  • Minimum Master’s degree in a Quantitative background (statistics, machine learning, quantitative finance, financial mathematics, econometrics, physics, mathematics) with 5 years of experience
  • Strong experience and understanding of time series analysis, linear and non-linear regression approaches so at to be able to assess assumptions and validate such models.
  • Experience in statistics, optimization, probability theory, machine learning and deep learning.
  • Previous experience in Algo-trading, from a quant development, trading, risk or model validation perspective
  • 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
  • Knowledge of financial markets and products in FX, Equities, Credit, Commodities or Rates

Corey Rague recruits for Risk and Analytics professionals across the financial services sector and would be happy to provide further details about this or other positions. You can reach him at  (646) 517-8533 or at corey.rague@jcwresourcing.com