Commodities Quantitative Analyst (Assistant Vice President) in London

By joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview

The Market Quantitative Analysis (MQA) team is looking for a Quantitative Analyst to join the front office Commodities Quant team in London, supporting the Commodities XVA desk. The business covers the key commodities areas, including Oil, EMEA and NAM Power and Gas, Metals, Agriculturals, Investor Products and Exotics as well as CVA, with main trading arms in London, Houston and New York.

Our role in MQA is to develop and support the modelling and analytics needs of the business, which involves close work and co‑ordination with the respective trading desks and functions, as well as our partners in IT and the various control functions. We use a variety of modelling and pricing techniques to capture and analyse the wide variety of dynamics found in the Commodities markets, as well as developing cutting edge solutions to allow the business to grow and adapt through changing market conditions.

What you’ll do:

• Develop analytics libraries used for 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, development including C++, Python, JavaScript React, 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.

What we’ll need from you:

• Experience in a comparable quantitative modelling or analytics role, ideally in the financial sector.
• Must have technical/programming skills; 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.
• Masters/PhD, or equivalent degree.

What we can offer you:

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best‑in‑class benefits they need to be well, live well and save well. By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure.
• A discretional annual performance related bonus.
• Private medical insurance packages to suit your personal circumstances.
• Employee Assistance Program.
• Pension Plan.
• Paid Parental Leave.
• Special discounts for employees, family, and friends.
• Access to an array of learning and development resources.

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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