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MQA Quantitative Analyst VP

Job Req ID 22512988 Primary Location New York, New York Job Category Institutional Trading
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Markets Quantitative Analysis Department (MQA) is a division of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firm’s positions throughout the Markets’ businesses. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model, and finally to delivering the model both to the desktop and to Technology for incorporation into the Firm’s books and records systems. MQA’s responsibilities span the G10 Rates, Local Markets, Credit, Commodities, FX, Equity, Equity Hybrids and Mortgage/Securitized markets businesses.

MQA is looking for a Quantitative Analyst to support the front office Risk Appetite Quant team across all asset classes, working along with the trading and XVA desks in managing and optimizing their risk appetite.

Responsibilities:

  • Build analytical tools for the business and traders’ use to assess market risk and capital metrics, and to develop efficient portfolio level hedge strategies.
  • Perform in-depth diagnosis of the current market risk and capital models and processes, partner with the business and other quant teams to propose and drive enhancement.
  • Partner with traders, provide cost-benefit analysis to help on business prioritization, guidance and direction.
  • Liaise with asset class quant teams to enhance existing pricing models, to strengthen the process used for calculating risk metrics and valuation.
  • Develop and maintain large-scale in-house python and C++ analytics libraries.
  • 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 behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.


Qualifications:

  • 4+ 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
  • Consistently demonstrates clear and concise written and verbal communication skills


Education:

  • A PhD or Master’s in a technical discipline such as statistics, computer science, mathematics, physics, quantitative finance, operations research or similar


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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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

Full time

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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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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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