Quantitative Modeling Specialist

1 week ago

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

Job Summary:

The Quantitative Analyst will be responsible for developing and implementing quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools. This includes hardware acceleration, advanced calculus, C++, C#, .NET, Java, object-oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/programming, and statistics and probability.

Responsibilities:

  • Develop analytics libraries used for pricing and risk-management
  • Create, implement, and support quantitative models for the trading business
  • 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 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

Qualifications:

  • 6-10 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
  • Must have technical/programming skills; 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
  • Must also possess any level of product knowledge, Investments, and Quantitative Methods
  • 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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