Quantitative Analyst Position

4 weeks ago


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

Job Summary:

Citigroup Inc. is seeking a highly skilled Quantitative Analyst to join its team in New York, NY. As a Quantitative Analyst, you will be responsible for developing models and methodologies to calculate and optimize initial margins of Over the Counter (OTC) financial derivatives portfolios.

Key Responsibilities:

  • Develop models and methodologies to calculate and optimize initial margins of OTC financial derivatives portfolios.
  • Identify sources of major market risks of OTC derivatives and capture them in margin methodologies.
  • Provide daily support to business to explain large changes of margin numbers to clients and investigate production issues promptly.
  • Develop new models to expand product coverage and market features.
  • Develop analytic utility tools for traders and quants.
  • Develop model performance test methodologies (back testing, stress tests, benchmarking, etc.).
  • Prepare technical reports for senior management, business, and risk management functions, and regulators.

Requirements:

  • Master's degree, or foreign equivalent, in Finance, Mathematics, or a related field.
  • Two (2) years of experience in the job offered, or in a related quantitative or analytics role in the financial services industry.
  • Utilizing C++, Python, or Java as a core programming language for writing financial applications using big data manipulation techniques, memorization, and lazy code evaluation.
  • Writing SQL queries and connecting to transactional databases for analyzing vast amounts of data.
  • Working with market data, statistics and probability calculations to calculate margin, margin drivers, and margin calculators.
  • Evaluating risks of complex financial instruments, solving analytical equations, and designing numerical schemes to analyze complex contracts.
  • Applying quantitative knowledge of fixed income instruments to develop risk calculation and monitoring tools.

What We Offer:

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.

Equal Employment Opportunity:

Citigroup Inc. and its subsidiaries (Citi) invite all qualified interested applicants to apply for career opportunities. 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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