Quantitative Analyst - Director

Citigroup Inc. New York , NY 10007

Posted 2 weeks ago

Business Overview:

The Markets Quantitative Analytics team is a team of expert quantitative modelers who partner with trading, sales and risk managers across Markets to design and develop quantitative solutions for the business. The team designs models and analytics to assist internal and external clients in pricing, hedging, and structuring securities, optimizing inventory and portfolios, and creating trading algorithms. MQA also provides critical information and advice for managing risk across all market trading units.

Opportunity:

We are looking for a senior quant with strong commercial awareness to lead a team supporting the Exotics Equity derivatives business for North America. The NAM Equity Exotics MQA team develops and maintain sophisticated quantitative models for the Equity Exotics business, provides advanced judgment and conducts in-depth quantitative analysis to solve problems and develop new, innovative solutions. The team lead will be required to think beyond existing solutions, assumptions or current knowledge of sophisticated areas and will have significant impact on the business through making decisions that determine technical approaches and strategies for the area. Excellent communication skills is required in order to negotiate internally, often at a senior level.

Responsibilities:

  • Lead a team of quants supporting the Equity Exotics business

  • Develop analytics libraries used for pricing and risk-management with a strong focus on automation using modern technologies, leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, C++ and Python

  • Improve Trading Decision, hedging automation using data driven technology involving statistical analysis, machine learning with a focus on deep learning

  • Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers

  • Diligently architect and manage the library code base, including collaborating with other teams to maximize scale and leverage across MQA.

  • Collaborate closely with Traders, Structurers and Sales to generate trade ideas, risk recycling opportunities and hedging strategies

  • Work in close partnership with control functions such as Model Validation, 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

Qualifications:

  • 10+ years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector

  • Must have technical/programming skills; C++ and python 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

  • 3yrs+ of experience managing people or mentoring more junior members

  • Consistently demonstrates clear and concise written and verbal communication skills

Education:

  • Bachelor's/University degree, Master's degree or PhD preferred

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.


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Quantitative Analyst - Director

Citigroup Inc.