Citi Group Quantitative Analyst 

United States, New York, New York 

954046741

Duties: Provide analytical models used for pricing securities and risk managing the Firm’s positions across a range of Fixed Income and Equity products. Cover model development and implementation, hedge efficiency, calibration algorithms, and risk measures. Research the mathematical derivation of a pricing model for equity and cross-asset products. Implement and enhance analytical models in the C++ equity and multi-asset library. Write and perform unit tests and regression tests covering significant test cases for newly developed pricing and risk models. Perform model validation submission for existing or newly developed base or product models. Design and develop optimization and calibration schemes in C++ and Python based on historical time series or current market prices. 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 Mathematics, Finance, or a related field, and two (2) years of experience in the job offered, or in a related occupation in the financial services industry. Employer will accept pre- or post- Master’s degree experience. Two (2) years of experience must include: Utilizing financial mathematics to design models and perform research into models and markets; Programming financial models and algorithms in C++, C#, Python, and VBA to develop and implement financial models; Working with multi-asset products including interest rate, credit, FX, equity, and commodities as well as Quantitative Investment Strategy index products; Writing model documentation including model design, model usage, and ongoing testing techniques; Analyzing finance issues such as asset valuation, trading, risk management, and financial market regulation; & Testing quantitative pricing and risk management models for financial products using stochastic calculus, probability theory, and Monte Carlo method. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID # 24753978. EO Employer.

Wage Range: $175,000 to $175,000/year

Anticipated Posting Close Date:

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