Quantitative Analyst: Credit Algo Quant - Assistant Vice President

Early Career • New York, NY

128d • $150,000 - $175,000

About The Position

Build automated market making capacities for credit products such as corporate bonds. Develop and enhance mathematical models to automatically price and trade Spread Product securities. Analyze financial time series data and other data sources to extract valuable information for the corporate bond market. Build a rigorous risk-management framework. Work closely with various functions, such as Business, Technology, Risk, and Compliance to ensure an efficient and safe automated market making system. Utilize Python, kdb+/Q and other computer languages to program, test, implement algorithms for live trading.

Requirements

• 5-8 years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector.
• Must have technical/programming skills; Python, kdb+/Q, C# .Net, SQL and C++.
• Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles.
• Must also possess any level of product knowledge, Investments and Quantitative Methods.
• Consistently demonstrates clear and concise written and verbal communication skills.

Responsibilities

• Develop analytics libraries used for automated market making, pricing and risk-management.
• Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ including STL, C#, .NET, Java, object oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability.
• Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers.
• Collaborate closely with Traders, Structurers, and technology professionals.
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure.
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics.
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm's reputation.
• Be familiar with and adhere to Citi's Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same.
• Adhere to all policies and procedures as defined by your role which will be communicated to you.
• Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

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: Mid Level
• Education Level: Master's degree