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Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location. The role involves developing Python quantitative modules in the MQA platform to perform a wide range of operations and analysis, including basket customization, multi-index hedge and optimization, collateral optimization, financial resources allocation, carry cost calculation, funding optimization, Axe list, performance and PnL monitoring, margin, RWA, balance sheet and CVA calculation. Additionally, the analyst will develop analytics libraries in C++ for Total Return Swap pricing, execution, and risk management. The position requires designing and implementing methods to understand client flow, revenue, and cost, advising the business on client strategic decisions, and creating, implementing, and supporting quantitative models for the trading business using various mathematical and computer science methods and tools. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.
