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: Design, develop, and implement quantitative models for the business leveraging a range of statistical and numerical tools and methods, such as Monte Carlo and Historical Simulation. Perform in-depth diagnosis of the current market risk and capital models and processes, as well as partner with the business and other quant teams to propose and drive model enhancement. Interpret and present analytical results to the business and propose solutions. Build analytical tools for the business to assess market risk and capital metrics, and to develop efficient hedging strategies. Appropriately assess the risks and rewards of transactions when making business decisions. Develop and optimize large-scale in-house Python and C++ analytics libraries. 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 Computational Finance, Computer Science, Mathematics, or a related field, and four (4) years of experience in the job offered or in a related occupation. Four (4) years of experience must include: Designing, developing and implementing quantitative models for a financial services business leveraging a range of statistical and numerical tools and methods, including Monte Carlo and Historical Simulation; Building and enhancing market risk Value-at-Risk (VaR) and Risk-Not-In-VaR (RNiV) models; Performing analysis for Fundamental Review of the Trading Book (FRTB) rules to drive prioritization; Writing model documentation including model design, model usage, and ongoing testing techniques; Utilizing Python to build libraries for managing risk metrics, evaluating hedging effectiveness and assessing model performance; Applying object-oriented programming in tool design and implementation; and Utilizing C++ and Python as core programming languages for writing financial applications using big data manipulation techniques, memorization, and lazy code evaluation. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID # 24739901. EO Employer.Wage Range: $225,000.00 to $250,000.00Job Family Group: Institutional TradingJob Family: Quantitative Analysis
Minimum Salary: 225,000 Maximum Salary: 250,000 Salary Unit: Yearly