Quantitative Analyst

Quantitative Analyst

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

Duties:

• Write new or extend existing quantitative pricing models and test mathematical specifications of credit contingent financial instruments for credit default Swaps, bonds, credit contingent options, defaultable swaps, callable bonds, etc.
• Prepare and submit model documentation for validation.
• Add changes / tests to Ongoing Performance documentation framework.
• Implement new or improve existing pricing models in the credit analytics library using C++.
• Collaborate with Technology in rolling out credit analytics, testing the improvements implemented in credit analytics and analyzing the results pre-production rollout.
• Integrate Xing Framework in analytics, collaborate with front office Multi Asset Risk System (MARS) application team on onboarding production trades onto Xing infrastructure.
• Provide quantitative analysis of production trades for Risk and Financial Controllers.
• Run stress tests on existing and new structures and provide analysis for traders.
• Provide daily support and analysis on P&L (Profit and loss), risk, and PAA (P&L Attribution Analysis).
• Design, implement, test, rollout and maintain tools for GSP's market-making activities.
• A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements:

• Bachelor's degree, or foreign equivalent, in Mathematics, Finance, Physics, or a related field, and six (6) years of experience in the job offered or in a related quantitative occupation.
• Six (6) years of experience must include: Conducting data analysis including correlations, volatilities and stressed volatilities studies, regression analysis, outlier detection, and backfilling; Working with stochastic processes and standard statistical theories and applications to develop analytical and simulation-based methodologies for predicting stress loss for market risk and counterparty credit risk; Using python statistical coding software to build and test prediction models for stress losses and other risk metrics based on Monte-Carlo simulation method and advanced sampling techniques; Using advanced mathematical skills to assess model performance for risk metrics including VaR and EDS; Participating in model development or validation process including model documentation, performance analysis, obtaining approval from model validation, and maintaining model through ongoing performance analysis and annual model reviews; Providing support for model implementation, production processes, and system integration; Working with Linux system and industry standard code management protocols and tools and collaborating to build end-to-end infrastructure for risk metric calculation in production environment.
• In the alternative, Employer will accept a Master’s degree and four (4) years of experience. Employer will accept pre- or post- Master’s degree experience.
• Employer will accept a PhD and one (1) year of experience. Employer will accept pre- or post-PhD degree experience.
• 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26941692. EO Employer.

Key skills/competency

• Quantitative Analysis
• C++
• Python
• Financial Instruments
• Credit Default Swaps
• Risk Management
• Model Development
• Monte-Carlo Simulation
• Data Analysis
• Stochastic Processes