Citi Group Quantitative Analyst – Linear Rates Quants VP 

France, Ile-de-France, Paris 

954045577

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

What you will do:

• The role will establish the Interest Rates Quants presence in the Paris office
• Work with the Rates Flow traders to help them with usage of Quant models
• Communicate with business stakeholders on both daily support issues and strategic projects
• Collaborate with team members in other locations on new model development and model enhancements
• Interact with Quant teams in other asset classes on cross-asset initiatives

What we’ll need from you:

• Experience with Flow Interest Rates products: sovereign bonds, swaps and basis swaps, FX and exchange traded products
• Working knowledge of yield curve construction, especially in the multi-index context
• Modelling the impact of various basis effects on Interest Rates products valuation: OIS and tenor basis, cross-currency basis, clearing house and bilateral basis
• Proficient in C++ and python
• Data analysis, optimization, statistics and numerical methods skills are a plus
• Excellent presentation and communication skills
• PhD or Masters

Time Type:

View the " " poster. View the .

View the .

View the