Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location.
Duties: Develop analytics libraries used for pricing and risk-management of credit products such as corporate bonds and credit default swaps, utilizing C++/Python/VBA, as well as data analysis and visualization tools. Create quantitative models for the business leveraging a range of mathematical and scientific tools and methods. Manage model validation process from comprehensive documentation to successful validation, working with stakeholders in the business and model risk management. Ensure appropriate governance and control infrastructure. Lead market wide initiatives such as Libor transition. Responsible for changes in capital rules for the business, and assist in managing their RWA. Remote work may be permitted within a commutable distance from the worksite, in accordance with Citi policy.
Requirements: Must possess a Bachelor’s degree, or foreign equivalent, in Finance, Financial Engineering, Applied Mathematics or a related field, and three (3) years of progressive, post-baccalaureate experience in the job offered or in a related occupation. Must possess three (3) years of experience with all of the following: Developing analytics libraries for financial applications using C++, Java and Python; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations, and design numerical schemes to analyze complex contracts; Utilizing knowledge of fixed income derivatives and financial products to develop product pricing and monitoring tools; Testing quantitative pricing and risk management models for financial products using stochastic calculus, probability theory, and Monte Carlo method; Analyzing finance issues such as asset valuation, trading, risk management, and financial market regulation; Utilizing fixed income pricing techniques for valuing fixed income instruments; Writing model documentation including model design, model usage, and ongoing testing techniques; and Applying programming concepts such as object-oriented programming, multi- threaded and multi-process programming in tool design and implementation.40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ or by email to Citigroup Recruiting Dept. at NAMobilityRecruitment@citi.com. Please reference Job ID#23689518. EO Employer. This position is eligible for incentives pursuant to Citigroup’s Employee Referral Program.
Wage Range: $175,000.00 to $175,000.00
Job Family Group: Institutional Trading
Job Family: Quantitative Analysis
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Time Type:
Full time
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Primary Location:
New York New York United States
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