Quantitative Analyst

Citi•New York, NY

10d•$160,000 - $175,000•Hybrid

About The Position

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location. Duties: Develop analytical libraries used for pricing, hedging, liquidity management 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 mathematical finance, probability, statistics, stochastics and software engineering. Develop optimization tools for constructing interest rate curves and computing single currency and cross currency asset swap spreads, optional-adjusted spreads and coupon adjusted spreads. Generate trading signals based on the spreads to select the optimal trades with rigorous back-tests and portfolio optimization. Carry out post-trade analyses on rebalancing and risk management methodologies to optimize the portfolio returns and provide enhanced liquidity while minimizing the interest risk exposure of the trading desks. Develop and maintain a range of Excel and React based web tools to support the trading and sales desks to price, trade and hedge a range of fixed income securities, including treasury bond, treasury bond futures and derivatives, interest swaps, invoice swaps, asset swaps, swaptions, inflation bonds and swaps, and repo and reverse repo products. Develop and maintain monitoring tools to ensure the marks and computed risks are accurate and tradable in the dynamic markets. Conduct quality control and compliance checks to ensure the accuracy and completeness of the streaming intraday ticking market data and end-of-day data. Perform data processing tasks to collect, process, and analyze data from the macroeconomic data, fixed income market data, and publicly available fixed income trade records. Generate real-time alerts and reports to support the sales and trading business to make optimal decisions to support clients. Verify and review the data to identify any errors or discrepancies and troubleshoot any issues that may arise in real-time to ensure the smooth operation of trading systems. Collaborate with traders, structurers and technology professionals and working in partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit and Finance to ensure appropriate governance and control infrastructure. 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 Mathematics, Computer Science, Operations Research and Information Engineering, Financial Engineering, or related field and 2 years of experience as a Quantitative Analysis Program Analyst, or related position involving quantitative model development and risk management support in a global financial services institution.
2 years of experience must include: Using mathematical methods, including advanced calculus, statistics, probability and stochastic processes, in security pricing and financial modeling projects; Applying numerical analysis techniques to perform fast calculations on large datasets; Software development in Python and C++; Maintaining and implementing high performance time series analysis and processing tools using C++; Functional programming and objected oriented programming; Producing models and analytics using machine learning methods; Big data management including cleaning, storage and delivery of large unstructured datasets and creating and maintaining databases and pipelines; Fixed income and derivative securities pricing across multiple asset classes; and Utilizing security processes to perform high-priority pricing and analysis projects.

Responsibilities

Develop analytical libraries used for pricing, hedging, liquidity management 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 mathematical finance, probability, statistics, stochastics and software engineering.
Develop optimization tools for constructing interest rate curves and computing single currency and cross currency asset swap spreads, optional-adjusted spreads and coupon adjusted spreads.
Generate trading signals based on the spreads to select the optimal trades with rigorous back-tests and portfolio optimization.
Carry out post-trade analyses on rebalancing and risk management methodologies to optimize the portfolio returns and provide enhanced liquidity while minimizing the interest risk exposure of the trading desks.
Develop and maintain a range of Excel and React based web tools to support the trading and sales desks to price, trade and hedge a range of fixed income securities, including treasury bond, treasury bond futures and derivatives, interest swaps, invoice swaps, asset swaps, swaptions, inflation bonds and swaps, and repo and reverse repo products.
Develop and maintain monitoring tools to ensure the marks and computed risks are accurate and tradable in the dynamic markets.
Conduct quality control and compliance checks to ensure the accuracy and completeness of the streaming intraday ticking market data and end-of-day data.
Perform data processing tasks to collect, process, and analyze data from the macroeconomic data, fixed income market data, and publicly available fixed income trade records.
Generate real-time alerts and reports to support the sales and trading business to make optimal decisions to support clients.
Verify and review the data to identify any errors or discrepancies and troubleshoot any issues that may arise in real-time to ensure the smooth operation of trading systems.
Collaborate with traders, structurers and technology professionals and working in partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit and Finance to ensure appropriate governance and control infrastructure.

Benefits

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.
Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
For additional information regarding Citi employee benefits, please visit citibenefits.com.
Available offerings may vary by jurisdiction, job level, and date of hire.

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