Quantitative Analyst

10 hours ago

New York, New York, United States Citigroup Inc Full time
Job Summary

The Quantitative Analyst will play a key role in the Credit Quantitative Analysis Team, focusing on Credit Markets. This strategic professional will stay abreast of developments within their field and contribute to directional strategy by considering their application in their job and the business. As a recognized technical authority for an area within the business, they will require basic commercial awareness. Developed communication and diplomacy skills are necessary to guide, influence, and convince others, particularly colleagues in other areas and occasional external customers. The Quantitative Analyst will have a significant impact on the area through complex deliverables, providing advice and counsel related to the technology or operations of the business. Their work will impact an entire area, which eventually affects the overall performance and effectiveness of the sub-function/job family.

Responsibilities
  1. Develop analytics libraries used for pricing and risk-management.
  2. 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.
  3. Develop pricing models using numerical techniques for valuation, including Monte Carlo Methods and partial differential equation solvers.
  4. Collaborate closely with Traders, Structurers, and technology professionals.
  5. Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure.
  6. Build a culture of responsible finance, good governance, and supervision, expense discipline, and ethics.
  7. 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.
  8. Be familiar with and adhere to Citigroup'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.
  9. Adhere to all policies and procedures as defined by your role, which will be communicated to you.
  10. Obtain and maintain all registrations/licenses required for your role within the appropriate timeframe.
  11. 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
  1. 6-10 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector.
  2. Must have technical/programming skills, including C#.Net, SQL, and C++ exposure to Market Data, 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.
  3. Must also possess any level of product knowledge, Investments, and Quantitative Methods.
  4. Consistently demonstrates clear and concise written and verbal communication skills.
Education

Bachelor's/University degree, Master's degree, and PhD preferred, in Mathematics, Machine Learning, Computer Science, Physics, Operations Research, Mathematical Finance, or related quantitative field.

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

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