Citi Group Quantitative Analyst - Counterparty Credit Risk team AVP C12 New York 

United States, New York, New York 

904768061

Markets Quantitative Analysis Department (MQA) is a division of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firm’s positions throughout the Markets’ businesses. The scope of responsibilities for the role extends from the research into the mathematics of the model, through its coding, testing, and documentation, and finally to its delivery both to the desktop and to Technology.

What you’ll do

• The role will be particularly focused on analytical aspects related to risk mitigants i.e. the simulation of margin requirement under different type of security agreements and the effect of different types of collateral
• Participate in the creation of a new collateral library, expected to improve on both analytical and implementation aspects of the existing production framework
• Write production-quality code, tests and documentation
• Document and explain analytical choices, design and run model and algorithmic tests as part of the internal model review process
• Analyze and provide comprehensive explanation of model outputs to internal and external clients

What we’ll need from you

• Ability to independently problem-solve
• Strong object-oriented programming skills in Python with experience in C++ and parallel computing a plus
• Ability to communicate advanced concepts in a concise and logical way, strong interpersonal and communication skills (verbal and writing)
• Strong work ethic and a team player with excellent time management skills and ability to multi-task
• Solid background in mathematics and finance
• 5-8 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector

Education:

• Bachelor’s/Master’s Degree, PhD or equivalent experience

Anticipated Posting Close Date:

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