Citi Group Quantitative Analyst Vice President 

United States, New York, New York 

45745637

Duties: Develop data analytics and automated and semi-automated quantitative strategies used by trading professionals to trade, hedge, and risk-manage G10 rates financial instruments, including US Treasury securities, interest rate swaps, and mortgage-backed securities. Evaluate and build live pricers for G10 rates instruments, including bonds and swaps. Use risk-neutral pricing and statistical prediction models. Build algorithms for hedging portfolios of G10 rates securities and derivatives. Responsible for pricing G10 rates financial instruments, including building and configuring yield-curves needed in pricing. Risk modeling of financial instruments and portfolios. Build data-mining tools to analyze past prices, risks and performance of financial instruments and portfolios. Build machine-learning algorithms use to forecast financial quantities in the future. Build tools to analyze market activity, profitability of trading strategies, and quality of pricing of client-facing transactions. Clean and analyze internal and publicly available securities and derivatives transaction data. Develop and maintain machine-learning based predictors for various quantities involved in trading. Maintain and develop technological infrastructure, data-mining techniques, machine-learning models, and statistical simulations of financial instrument portfolios. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent, in Computational Finance, Mathematics, Financial Mathematics, or related quantitative field and 2 years of experience as a Quantitative Analyst, Analyst or related position involving quantitative financial data analysis and modeling and performing risk management and modeling for a bank. 2 years of experience must include: Working with Fixed income securities pricing models; Employing column-based time series database language KDB/q+ for analyzing trading data, and building algorithms trading tools; Utilizing Market Micro-Structure for researching market models and developing trading strategies; Utilizing programming languages including C++ and Java; Utilizing scripting languages including Python, R and Matlab; Probabilities and Statistics and Statistical Machine Learning for quantitative research, modeling, price predictions, and financial data analysis; Working with trading and hedging models of G10 rates financial instruments; and Building up historical back-test framework for models and predictors. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25827605. EO Employer.

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

Anticipated Posting Close Date:

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