Citi Group Quantitative Analyst - Cross Product Margining Business 

United States, New York, New York 

333239403

A front office quantitative analyst to develop and maintain models used for regulatory and non-regulatory Initial Margin.

Key responsibilities:

• Identify the sources of major market risks of OTC derivatives, and capture them in the margin methodologies.
• Provide daily support to business to explain large changes of margin numbers to clients, and investigate any production issues promptly.
• Develop new models to expand product coverage and market features. Develop analytic utility tools for traders and quants.
• Develop model performance test methodologies (back testing, stress tests, benchmarking, etc.)
• Prepare technical reports for senior management, business and risk management functions, and for regulators

Skills required:

• Strong analytic and quantitative skills, in particular in statistics and Extreme Value Theory
• Strong programming skills in C++, Python, R
• Experience of financial derivative’s pricing and risk modeling
• Postgraduate degree in Mathematics, Physics, Finance or Computer science
• 6-10 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector.

Anticipated Posting Close Date:

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