Quantitative Analyst at Citi

New York, New York, United States -

Full Time

Start Date

Immediate

Expiry Date

13 Jun, 26

Salary

175000.0

Posted On

15 Mar, 26

Experience

2 year(s) or above

Remote Job

Yes

Telecommute

Yes

Sponsor Visa

Skills

Quantitative Analysis, Analytical Libraries, Pricing, Hedging, Risk Management, Quantitative Models, Mathematical Finance, Stochastics, Software Engineering, Optimization Tools, Back-testing, Portfolio Optimization, Python, C++, Machine Learning, Data Processing

Industry

Financial Services

Description

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location. Duties: Develop analytical libraries used for pricing, hedging, liquidity management 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 mathematical finance, probability, statistics, stochastics and software engineering. Develop optimization tools for constructing interest rate curves and computing single currency and cross currency asset swap spreads, optional-adjusted spreads and coupon adjusted spreads. Generate trading signals based on the spreads to select the optimal trades with rigorous back-tests and portfolio optimization. Carry out post-trade analyses on rebalancing and risk management methodologies to optimize the portfolio returns and provide enhanced liquidity while minimizing the interest risk exposure of the trading desks. Develop and maintain a range of Excel and React based web tools to support the trading and sales desks to price, trade and hedge a range of fixed income securities, including treasury bond, treasury bond futures and derivatives, interest swaps, invoice swaps, asset swaps, swaptions, inflation bonds and swaps, and repo and reverse repo products. Develop and maintain monitoring tools to ensure the marks and computed risks are accurate and tradable in the dynamic markets. Conduct quality control and compliance checks to ensure the accuracy and completeness of the streaming intraday ticking market data and end-of-day data. Perform data processing tasks to collect, process, and analyze data from the macroeconomic data, fixed income market data, and publicly available fixed income trade records. Generate real-time alerts and reports to support the sales and trading business to make optimal decisions to support clients. Verify and review the data to identify any errors or discrepancies and troubleshoot any issues that may arise in real-time to ensure the smooth operation of trading systems. Collaborate with traders, structurers and technology professionals and working in partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit and Finance to ensure appropriate governance and control infrastructure. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols. Requirements: Requires a Master’s degree, or foreign equivalent, in Mathematics, Computer Science, Operations Research and Information Engineering, Financial Engineering, or related field and 2 years of experience as a Quantitative Analysis Program Analyst, or related position involving quantitative model development and risk management support in a global financial services institution. 2 years of experience must include: Using mathematical methods, including advanced calculus, statistics, probability and stochastic processes, in security pricing and financial modeling projects; Applying numerical analysis techniques to perform fast calculations on large datasets; Software development in Python and C++; Maintaining and implementing high performance time series analysis and processing tools using C++; Functional programming and objected oriented programming; Producing models and analytics using machine learning methods; Big data management including cleaning, storage and delivery of large unstructured datasets and creating and maintaining databases and pipelines; Fixed income and derivative securities pricing across multiple asset classes; and Utilizing security processes to perform high-priority pricing and analysis projects. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26939382. EO Employer. Wage Range: $160,000 to $175,000 Job Family Group: Institutional Trading Job Family: Quantitative Analysis ------------------------------------------------------ Job Family Group: ------------------------------------------------------ Job Family: ------------------------------------------------------ Time Type: Full time ------------------------------------------------------ Primary Location: New York New York United States ------------------------------------------------------ Primary Location Full Time Salary Range: In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire. ------------------------------------------------------ Most Relevant Skills Please see the requirements listed above. ------------------------------------------------------ Other Relevant Skills For complementary skills, please see above and/or contact the recruiter. ------------------------------------------------------ Anticipated Posting Close Date: ------------------------------------------------------ Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi. View Citi’s EEO Policy Statement and the Know Your Rights poster.

Responsibilities

The role involves developing analytical libraries and quantitative models for trading, focusing on pricing, hedging, liquidity, and risk management using mathematical and computer science methods. Responsibilities also include creating optimization tools, generating trading signals, performing post-trade analyses, and developing support tools for fixed income securities.