Preparing for your next Quant Interview?
Practice Here!


New York, US
200,000 - 250,000
Apply Now
Job Description

Duties: Hedge credit and funding risk for the Equities X-Value Adjustment Trading desk. Optimize capital footprints and Risk Weighted Assets (“RWA”) of Equities division through statistical analysis, identifying inefficiencies and proposing system enhancements. Manage all aspects of deal pricing, book management, and projects engagement. Engage with transformation and regulatory teams regarding RWA validation, optimization and marginalization. Utilizing mathematical and statistical models, price x-value adjustments holistically, including credit value adjustment, funding valuation adjustment, margin costs, and capital. Analyze existing RWA themes and implement data flow solutions to maximize efficiencies. Optimize RWA footprint of credit value adjustments. Create, optimize, and manage analytical tools for risk, profit and loss. Participate in London Interbank Offered Rate reform efforts and planning. Engage with technology and quantitative teams to resolve problems and enhance platform capabilities. Collaborate with internal partners and industry forums to improve stress testing capabilities. Work with Quantitative Analysts, Risk Technology and Risk Delivery teams to ensure risk is captured in models. Improve core capabilities in light of increasing calculation demands. Analyze statistical and seasonal trends in balance sheets and capital usage. Establish and maintain key relationships to deliver solutions.

Requirements: Requires a Master’s degree, or foreign equivalent, in Finance, Financial Mathematics, Business, Accounting or related field and three (3) years of experience as a Quantitative Analyst, Modeling/Analysis/Validation Sr. Analyst, Structurer, Risk Officer, or similar position performing quantitative, credit and market risk analysis, statistical modeling, and optimization of regulatory and economic capital within a financial services institution. 3 years of experience must include: Financial and equity derivatives pricing; Regulatory capital and financial regulations, including Basel III and Comprehensive Capital Analysis and Review; Data management using MS Excel and Python; and Quantitative and mathematical analytics, including financial calculus pertaining to option pricing, martingales and similar concepts; modelling current and projected financial resources according to current and future definitions; and Python modelling. Applicants submit resumes at and search Job Req ID#23651199 or to Citigroup Recruiting Dept., 3800 Citigroup Center Drive, Tampa, FL 33610. EO Employer. This position is eligible for incentives pursuant to Citigroup’s Employee Referral Program.

Share this job
Share On
Apply Now