Quantitative Analyst

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location.

Duties: Responsible for developing models and methodologies to calculate and optimize initial margins of Over the Counter (OTC) financial derivatives portfolios. Portfolios contain derivative transactions in all major asset classes including interest rates, credit, emerging markets, FX, equities, mortgage, and commodities. Identify the sources of major market risks of OTC derivatives and capture them in margin methodologies. Engage with senior traders to identify margin reduction transactions and provide detailed analysis of the financial impact on business performance. Provide daily support to the business to explain changes of margin numbers to clients and investigate production issues. Develop and document new models to expand product coverage and market features. Develop analytical utility tools for traders and quants. Develop model performance test methodologies (back testing, stress tests, benchmarking, etc.). Prepare technical reports for senior management, business, risk management functions, and regulators. Remote work may be permitted within a commutable distance from the worksite in accordance with Citi policy.

Requirements: Master’s degree, or foreign equivalent, in Financial Mathematics, Statistics, Finance, or a related field, and two (2) years of experience in the job offered or in a related occupation. Two (2) years of experience must include: Using mathematical models and methodologies to calculate initial margins; Working on financial derivatives products of multiple asset classes; Implementing models and analysis using Python and C++; Performing data analysis with statistical and econometrics models including Regression and Value at Risk (VaR); and Solving complex financial problems using both analytic and numerical methodologies. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID # 24739915. EO Employer.

Wage Range:                $200,000 to $250,000/year

Job Family Group:        Institutional Trading

Job Family:                  Quantitative Analysis

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. 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. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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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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