Citi Group Quantitative Analyst 

United States, New York, New York 

478854777

Duties: Develop Python quantitative modules in MQA platform to perform a wide range of operations & analysis, including basket customization, multi-index hedge and optimization, collateral optimization, financial resources (inventory & usage) allocation, carry cost calculation, funding optimization, Axe list, performance & PnL monitoring, margin, RWA, balance sheet & CVA calculation. Develop analytics libraries (C++) used for Total Return Swap pricing, execution, and risk-management. Design & implement methods to understand client flow, revenue, and cost in 360-degree angles, advise business on client strategic decisions. Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ object-oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming, machine learning, statistics, and probability. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements: Master’s degree, or foreign equivalent, in Financial Engineering, Finance, Mathematics, or a related field, and four (4) years of experience in the job offered or in a related finance or IT occupation analyzing data in the financial or IT industry. Four (4) years of experience must include: Building optimization algorithms to improve the business operation, including collateral optimization, funding optimization, or hedge optimization; Performing quantitative data analysis to facilitate business decisions, including basket customization, financial resources (inventory and usage), allocation analysis, carry cost calculation, axe list, performance & PnL monitoring, margin, RWA, balance sheet & CVA calculation; Improving infrastructure and models by optimizing the algorithms and writing testing code; Creating, implementing, and supporting quantitative and statistical models for the business leveraging a wide variety of mathematical and computer science methods and tools including Python, kdb, Structured Query Language (SQL), hardware acceleration, advanced calculus, C++ object-oriented software design, mathematical finance/ programming, and statistics and probability; Building quantitative tools to understand client flow, including monitoring client portfolios, decomposing the balance moving into different factors to understand the underlying drivers; and Building innovative analytics, machine learning, statistical and mathematical models for the business to increase revenue or reduce costs. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID # 25846547. EO Employer.

Wage Range: $200,000.00 to $250,000.00

Anticipated Posting Close Date:

View the " " poster. View the .

View the .

View the