Credit Quantitative Analyst

Citi•New York, NY

1d•Onsite

About The Position

We are seeking a highly skilled and experienced VP Quantitative Analyst to join our Spread Products Credit Quant Team in New York. This is a crucial role at the forefront of our business expansion, where you will support our market-making capabilities in new and innovative credit structures. You will be responsible for the end-to-end development of sophisticated models and their high-performance implementation within our C++ library, directly impacting our trading capabilities and product offerings. The role involves model development and implementation, collaboration and support with various teams, and risk management and governance to ensure compliance and appropriate control infrastructure.

Requirements

4-5 years of experience in a comparable quantitative modeling or analytics role, ideally focused on Fixed Income Products and Markets.
Expert-level programming skills in C++ for a production environment.
Strong proficiency in Python for analytics, tooling, and data analysis.
Deep understanding of probability theory, stochastic calculus, and numerical methods used to evaluate complex financial instruments.
Solid foundation in software design principles and best practices.
Demonstrable knowledge of fixed income markets, products and conventions as well as quantitative methods.
Consistently demonstrates clear and concise written and verbal communication skills, with the ability to be a team player and explain complex concepts to diverse audiences.

Nice To Haves

A Master’s degree or higher in a quantitative field such as Mathematics, Physics, Financial Engineering, or Computer Science is preferred.

Responsibilities

Design, develop, and implement sophisticated mathematical models for credit contingent securities and numerical methods.
Implement and maintain the models, robust and efficient numerical methods for pricing, valuation, and risk management within the existing C++ quantitative library.
Enhance and maintain the analytics infrastructure, ensuring the high performance, accuracy, and scalability of all models.
Collaborate closely with trading, structuring, and technology teams to understand business requirements and deliver cutting-edge quantitative solutions.
Provide expert quantitative support to front-office teams on credit contingent securities and structures.
Design and maintain Python-based tools and solutions to empower traders with new trade pricing, scenario analysis, and risk management capabilities.
Conduct thorough model testing, validation, and documentation to meet rigorous internal standards and regulatory requirements.
Work in close partnership with control functions such as Financial Control, Compliance, Model Validation, Market and Credit Risk, and Audit to ensure an appropriate governance and control infrastructure.
Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients, and assets.
Drive compliance with applicable laws, rules, and regulations, adhering to all policies and applying sound ethical judgment.

Benefits

medical coverage
dental coverage
vision coverage
401(k)
life insurance
accident insurance
disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave)
paid holidays
discretionary and formulaic incentive and retention awards