Credit Quantitative Analyst

Citi • New York, NY

4d • $175,000 - $250,000 • 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.

Requirements

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

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, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

• Job Type: Full-time
• Career Level: Manager