Job Information
Citigroup Global Markets Inc. Quantitative Analyst in New York, New York
Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location.Duties: Develop models and methodologies to calculate and optimize initial margins of Over the Counter (OTC) financial derivatives portfolios. Portfolios contain derivative transactions in all asset classes including interest rates, credit, emerging markets, FX, equities, mortgage, and commodities. Identify sources of major market risks of OTC derivatives and capture them in margin methodologies. Provide daily support to business to explain large changes of margin numbers to clients and investigate production issues promptly. Develop new models to expand product coverage and market features. Develop analytic utility tools for traders and quants. Develop model performance test methodologies (back testing, stress tests, benchmarking, etc.). Prepare technical reports for senior management, business, and risk management functions, and regulators. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols. Requirements: Master’s degree, or foreign equivalent, in Finance, Mathematics, or a related field, and two (2) years of experience in the job offered, or in a related quantitative or analytics role in the financial services industry. Employer will accept pre- or post- Master degree experience. Two (2) years of experience must include: Utilizing C++, Python, or Java as a core programming language for writing financial applications using big data manipulation techniques, memorization, and lazy code evaluation; Writing SQL queries and connecting to transactional databases for analyzing vast amounts of data; Working with market data, statistics and probability calculations to calculate margin, margin drivers, and margin calculators; Evaluating risks of complex financial instruments, solving analytical equations, and designing numerical schemes to analyze complex contracts; and Applying quantitative knowledge of fixed income instruments to develop risk calculation and monitoring tools. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24780397. EO Employer.
Minimum Salary: 200000.00 Maximum Salary: 250000.00 Salary Unit: Yearly