Citi Group Quantitative Analyst - In-Business Risk Team VP New York 

United States, New York, New York 

871008953

Responsibilities:

Some key responsibilities include:

• Build advanced analytical tools and applications including AI powered apps, for the business and traders’ use to assess market risk, stress loss and capital metrics, and to develop efficient portfolio level hedge strategies.

• Perform in-depth diagnosis of the current market risk and capital models and processes, partner with the business and other quant teams to propose and drive enhancement.

• Partner with traders, provide cost-benefit analysis to help on business prioritization, guidance and direction.

• Liaise with Equities asset class quant teams to improve existing pricing models, and strengthen the process used for calculating risk metrics and valuation.

• Develop well-structured high-quality code and contribute to contribute to large-scale in-house python libraries.

• Be the Equities SME in the team. Educate the team in equity products, pricing models, and relevant math.

• Stay attuned to recent GenAI/ML advances, harnessing their power to bolster business support and analysis.

Qualifications:

• 6-10years of experience in quantitative modeling in the financial industry. Must possess in-depth pricing model knowledge in Equities. Previous experience in developing and using stochastic calculus and pricing models to evaluate risks of complex financial instruments.

• Must have strong technical/programming skills in python. Experience in collaborative code development through use of Git/Bitbucket and similar platforms. Familiar with software development principles. Able to design, structure, and modularize complicated program.

• Familiar with SQL, and experience working with large dataset. Skilled in data cleaning, transformation, and processing using Python libraries such as pandas and numpy.

• Proficiency in delivering solutions using front-end frameworks like Angular and visualization tools like Tableau is a plus.

• Understanding of commonly used market risk metrics and method such as VaR, stress testing.

• Clear and concise written and verbal communication skills.

Education:

• A PhD or Master’s degree in a technical discipline such as statistics, mathematics, physics, computer science, quantitative finance, operations research or similar.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Anticipated Posting Close Date:

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