Quantitative Analyst, Director

The Quantitative Analyst is a strategic professional who closely follows the latest trends in their field and adapts them for application within their job and the business. Recognized subject matter expert within one area. Strong commercial awareness is a necessity. An acknowledged authority both within and outside their area of expertise. Typically a small number of people within the business provide the same level of expertise. Excellent communication skills are required in order to negotiate internally, often at a senior level. Some external communication is typically required. Provides advanced judgment and conducts in-depth quantitative or qualitative analysis to solve problems and develop new, innovative solutions. Required to think beyond existing solutions, assumptions, or current knowledge of sophisticated areas. Significant impact on a function and/or the business through making decisions that determine technical approaches and strategies for the area.

Responsibilities:

• 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, C++, C#, .NET, Java, object-oriented software design, Python, kdb, Structured Query Language (SQL), 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, and Finance to ensure appropriate governance and control infrastructure.
• Build a culture of responsible finance, good governance, supervision, expense discipline, and ethics.
• Assess risk/reward of transactions when making business decisions; ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
• Familiarize with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; 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 required for your role, within the appropriate timeframe.
• 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.

Qualifications:

• Prior experience in a comparable quantitative modeling 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; Software design and principles.
• Must also possess product knowledge, Investments, and Quantitative Methods.
• Consistently demonstrates clear and concise written and verbal communication skills.

Education:

• University degree, Master’s degree preferred.

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

Job Family Group: Institutional Trading

Job Family: Quantitative Analysis

Time Type: Full time

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.

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