Model/Anlys/Valid Officer

Citi • New York, NY

5d • $225,000 - $250,000 • Hybrid

About The Position

Citigroup Global Markets Inc. seeks a Model/Anlys/Valid Officer for its New York, New York location. Duties include applying mathematical theories and no-arbitrage pricing techniques to develop, maintain, and enhance quantitative models for pricing and risk within the Muni Derivatives and Spread Products Solutions businesses. This involves using mathematical techniques like copula models and stochastic calculus for calculating Credit Value Adjustment, Funding Valuation Adjustment, and other affine metrics for portfolios of Credit, Municipal, and Mortgage derivatives. The role also entails designing and developing analytical tools and applications for the Global Spread Products business, utilizing data science techniques to identify relative value opportunities and market risks. A key responsibility is improving calculation speed and performance for production batch runs to ensure timely and accurate profit and loss and market risk factor sensitivities for trading desks. The officer will collaborate with trading desks to understand product-specific features and hedging strategies for new models, and work closely with traders, structurers, and technology professionals to support daily business, resolve production issues, and answer questions regarding pricing, risk calculation, and profit attribution analysis. Coordination with IT and adjunct teams for deploying trading solutions in the IT infrastructure is also required. Implementation of models and tools within the analytics library using C++ and Python is expected. The role involves close partnership with control functions like Market Risk, Model Validation Group, Audit, and Finance to ensure appropriate governance and control infrastructure. Additionally, the officer must write necessary documentation for models used by the business for validation and implement tests for ongoing performance analysis as required by regulation. 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, Physics, Computational Science, Quantitative & Computational Finance or related quantitative field
• 3 years of experience as a Quantitative Analyst, Financial Analyst, or related position involving software development and analysis for financial industry.
• 3 years of experience must include: Java, Python; SQL, Sybase, DB2; Data analysis and reconciliation; Application development; and Profit and loss attribution analysis.

Responsibilities

• Apply mathematical theories and no-arbitrage pricing techniques to develop, maintain and enhance quantitative models for pricing and risk for the Muni Derivatives business and Spread Products Solutions business.
• Apply mathematical techniques, including copula models and stochastic calculus for computing the Credit Value Adjustment, Funding Valuation Adjustment and other affine metrics for portfolios of Credit, Municipal and Mortgage derivatives.
• Design and develop analytical tools and applications for the Global Spread Products business, leveraging various data science techniques that would help the desk identify relative value opportunities and potential market risks involved.
• Improve the calculation speed and performance for production batch run to make sure trading desks can get the profit and loss, market risk factors sensitivities accurately and in time.
• Work with the trading desks to understand the product specific features and hedging strategies for any new product that needs to be modelled in the analytics.
• Cooperate closely with traders, structurers, and technology professionals to support their daily business, resolve production issues and answer questions about pricing, risk calculation and profit attribution analysis.
• Coordinate with IT and adjunct teams to deploy the trading solutions in the IT infrastructure.
• Implement the models and tools required by the business within the analytics library, using C++ and Python.
• Work in close partnership with control functions such as Market Risk, Model Validation Group, Audit, Finance to ensure appropriate governance and control infrastructure.
• Write the necessary documentation of the models used by the business for model validation and implement the necessary tests for the ongoing performance analysis required by regulation.

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