Citi Group Quantitative Analyst 

United States, New York, New York 

289016566

Duties: Develop and enhance models for primary and secondary market making in fixed-income exchange traded funds (ETF). Develop models for trading in bond and loan portfolios as well. Design, implement, and maintain optimization models and analytical tools for optimization of custom fixed-income portfolios. Utilize R, Python, C++, SQL, and other languages to perform quantitative research on bond portfolio trading strategies. Develop interfaces, such as websites and application program interfaces (APIs), so that users can utilize the models and tools developed. Enhance and develop programmatic interfaces to facilitate traders’ ability to structure portfolios independently. Perform quantitative research on bond portfolio trading strategies, like time series analysis and stochastic filtering. Statistically analyze electronic market data sources and historical trades to improve the trading efficiency. Research and model client holdings and trading patterns to help construct portfolio trades. 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 Statistics, Mathematics, Mathematical Finance, or related quantitative field and 2 years of experience as a Quantitative Analyst, Financial Engineer, Researcher, Pricing Strategy Analyst, Data Scientist, or related position in the financial services industry. 2 years of experience must include: Convex and mixed-integer optimization in a financial context; Create and maintain data pipelines, database tables and data wrangline in SQL and python; Statistical prediction and estimation including machine learning using R and Python data stack; Knowledge of fixed-income products especially corporate and mortgage bonds to build models; and Creation of application program interfaces (API) and websites to expose models. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24753993. EO Employer.

Wage Range: $160,000 to $175,000

Anticipated Posting Close Date:

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