Citi

The Quantitative Analyst is a strategic professional who stays abreast of developments within own field and contributes to directional strategy by considering their application in own job and the business. Recognized technical authority for an area within the business.

Interest Rate Derivatives quant working closely with Trading, Sales, Structuring and Risk and Control Functions. The role is reporting directly to Global Head of Non-Linear Interest Rates Quants. Principal responsibility is pricing model development within the strategic Interest Rate analytics library. Experience of at least 3 years with standard rates models (SABR, HJM, Markov functional) and products (Swaptions, CMS, Path-Dependent Exotics) are essential, alongside strong mathematical and programming skills (C++ and Python). The successful candidate will have strong problem solving skills and the ability to communicate clearly with a wide variety of stakeholders.

Responsibilities:

• Develop analytics libraries used for pricing and risk-management
• Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ including STL, C#, .NET, Java, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability
• Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
• Collaborate closely with Traders, Structurers, and technology professionals
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
• Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
• Adhere to all policies and procedures as defined by your role which will be communicated to you
• Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe
• 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:
• Strong experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
• Must have technical/programming skills; C++ and Python. Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
• Consistently demonstrates clear and concise written and verbal communication skills

Education:

• Bachelor’s/University degree, Master’s degree preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Job Family Group:

Institutional Trading

Job Family:

Quantitative Analysis

Time Type:

Full time

Primary Location:

New York New York United States

Primary Location Salary Range:

$175,000.00 - $250,000.00

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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