Quantitative Analyst

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, New York location.

Duties: Utilize Python, KDB+ q, SQL, and C++ to develop mathematical models for securities valuation, structuring portfolios and formulating investment strategies.

Use statistics and probability-based calculations to evaluate risks of complex financial instruments, solve analytical equations, and design numerical schemes to analyze complex contracts. Develop analytics libraries used for pricing and risk-management using programming skills and software design principles. Develop and create relative value analysis tools to help traders and sales gain knowledge of market to provide enhanced liquidity to clients.

Identify drivers for market price movements and find market dislocations to boost trading revenue. Develop front-end web application using React, JavaScript, CSS, and HTML; develop back-end calculation server with KDB+ q, Python and C++. Calculate and stream intraday quotes to traders using web sockets. Develop analytical tools and visualization charts using time series analyses, statistical analyses, and signal processing techniques.

Provide desk support for fixed income trading desks including treasury, treasury future, swap, swaption, inflation products and repo trading desks. Create, implement, and support quantitative models for trading business leveraging 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, statistics and probability. Create Excel pricing, risk analyses and relative value analyses tools using internal pricing library and VBA programming for trading and sales.

Research application of machine learning, deep learning and quantum computing inspired methods in interest rate cash and derivative pricing and hedging. Source, process, and perform data analysis and time series analysis based on macro data, fixed income market data and publicly available fixed income trade record data. Work with Legal, Compliance, Market and Credit Risk, Audit, 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 Computational Finance, Mathematics, Statistics or related quantitative field and 2 years of experience as a Quantitative Analyst, Quantitative Analysis Program Analyst, or related position involving quantitative modeling for financial services industry.

Alternatively, employer will accept a Bachelor's degree in stated fields and 5 years of specified progressive, post-baccalaureate experience. 2 years of experience must include: Programming skills and software design principles; KDB+ q, Python, VBA, SQL and C++; Statistics, probability based calculations, and stochastic calculus; Data analysis, times series analysis and machine learning skills; Fixed income market data and fixed income financial product knowledge; Investment and quantitative methods; Risk management, portfolio optimization and strategy research. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #24739957. EO Employer.

Wage Range: $175,000 to $175,000

Job Family Group: Institutional Trading

Job Family: Quantitative Analysis

Job Family Group:

Job Family:

Time Type:

Full time

Primary Location:

New York New York United States

Primary Location Full Time Salary Range:

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.

Anticipated Posting Close Date:

Jun 27, 2024

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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