Model/Anlys/Valid Sr Analyst

Citi • New York, NY

11d • $160,000 - $175,000 • Hybrid

About The Position

Citigroup Global Markets Inc. seeks a Model/Analysis/Valid Sr Analyst for its New York, New York location. Duties: Provide training to junior quantitative analysts on model methods and techniques used to develop, maintain and improve financial models used for the pricing of exotic interest rate derivatives. Collaborate and interface with Traders, Structurers, and technology professionals. Create, implement and support quantitative models for the trading business leveraging mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++, C#, .NET, object-oriented software design, Python, SQL, mathematical finance, programming, statistics and probability. Apply knowledge of probability and stochastics to develop mathematical models for the pricing of interest rate derivatives which are suitable for daily risk management. Work with trading function to risk manage the portfolio of interest rate derivatives and respond to new client requests. Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers. Work with control functions including Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure. Coordinate with risk and control functions to test and document performance of interest rate derivative models. Contribute to a culture of responsible finance, good governance, expense discipline and ethics. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements

• Requires a Master’s degree or foreign equivalent in Quantitative & Computational Finance, Financial Engineering or related field and 3 years of experience as a Quantitative Analyst or related position involving derivative pricing model development and risk management support in a global financial services institution.
• 3 years of experience must include: Derivative pricing models development using C++; Probability and stochastics including Measure Theory; Interest rate modelling; Exotic derivative products; Monte Carlo Methods and partial differential equation solvers; Stochastic calculus; and Python programming.

Responsibilities

• Provide training to junior quantitative analysts on model methods and techniques used to develop, maintain and improve financial models used for the pricing of exotic interest rate derivatives.
• Collaborate and interface with Traders, Structurers, and technology professionals.
• Create, implement and support quantitative models for the trading business leveraging mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++, C#, .NET, object-oriented software design, Python, SQL, mathematical finance, programming, statistics and probability.
• Apply knowledge of probability and stochastics to develop mathematical models for the pricing of interest rate derivatives which are suitable for daily risk management.
• Work with trading function to risk manage the portfolio of interest rate derivatives and respond to new client requests.
• Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers.
• Work with control functions including Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure.
• Coordinate with risk and control functions to test and document performance of interest rate derivative models.
• Contribute to a culture of responsible finance, good governance, expense discipline and ethics.

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: Senior