Quantitative Trader

Job Summary

Citibank, N.A. seeks a Quantitative Trader for its New York, New York location. This role involves applying advanced mathematical and statistical techniques to solve practical financial problems, focusing on derivative valuation, securities trading, and risk management.

Key Responsibilities

• Apply mathematical or statistical techniques to address practical issues in finance, such as derivative valuation, securities trading, risk management, or financial market regulation.
• Interpret results of financial analysis procedures and provide analytical support to researchers or traders on issues like valuations or data.
• Devise or apply independent models or tools to help verify results of analytical systems.
• Develop core analytical capabilities or model libraries, using advanced statistical, quantitative, or econometric techniques.
• Maintain or modify all financial analytic models in use.
• Identify, track, or maintain metrics for trading system operations.
• Research or develop analytical tools to address issues such as portfolio construction or optimization, performance measurement, attribution, profit and loss measurement, or pricing models.
• Consult traders or other financial industry personnel to determine the need for new or improved analytical applications.
• Research new financial products or analytics to determine their usefulness.
• Produce written summary reports of financial research results.
• Prepare requirements documentation for use by software developers.

Qualifications & Experience

Requires a Master’s degree or foreign equivalent in Computational Finance, Computer Science, Financial Engineering, Information Science or a related field and 3 years of experience as a Quantitative Trader, Quantitative analysis Program Analyst, Algorithmic Trader or related position trading global currencies for a global financial institution. Will also accept a Bachelor’s degree or foreign equivalent in the above disciplines and 5 years of progressive, post baccalaureate experience as listed above.

Specific Experience Required (3 years must include)

• Electronically conduct Market Making currency trading for global currencies for a global financial institution through model parametrization, manual hedging, skews and proprietary views.
• Assessing algo hedging decisions to improve trade monetization.
• Improving bid/offer depth of book calibration during volatile market conditions to provide consistent pricing for clients and monetizing risk exposure.
• Enhancing inventory and skewing models by providing real time feedback to the quantitative research team.
• Efficiently use KDB to rapidly prototype applications, reports and iterate high frequency data.
• Liaise with sales to make data driven decisions using trade and RFQ data to analyze market impact and stream optimization.

Work Arrangement

A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Key Skills/Competency

• Quantitative Analysis
• Derivative Valuation
• Securities Trading
• Risk Management
• Financial Modeling
• Market Making
• Algorithmic Trading
• KDB (q/kdb+)
• Statistical Techniques
• Data-Driven Decision Making