Quant Manager NY - SVP

The Quant Manager is a senior level position responsible for establishing and implementing new or revised application systems and programs in coordination with the Technology Team. The overall objective of this role is to lead applications systems analysis and programming activities.

ACE Quant Development Team is a group within Enterprise Technology Solutions (ETS) Organization, responsible for developing the analytical models which are used for derivatives risk and exposure calculations Firm-wide. 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 for formal validation and approval, and finally to delivering the model for incorporation into the Firm’s internal and regulatory risk management processes. We're looking for an experienced Quant Developer to help execute several critical development projects.

Responsibilities:

• Lead integration of functions to meet goals, deploy new products, and enhance processes
• Analyze complex business processes, system processes, and industry standards to define and develop solutions to high level problems
• Provide expertise in area of advanced knowledge of applications programming and plan assignments involving large budgets, cross functional project, or multiple projects
• Develop application methodologies and standards for program analysis, design, coding, testing, debugging, and implementation
• Utilize advanced knowledge of supported main system flows and comprehensive knowledge of multiple areas to achieve technology goals
• Consult with end users to identify system function specifications and incorporate into overall system design
• Allocate work, and act as an advisor/coach developers, analysts, and new team members
• Influence and negotiate with senior leaders and communicate with external parties
• 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.

The role will involve tasks such as:

• Development and maintenance of the in-house C++ and Python model libraries
• Advancing the quantitative toolbox by developing new technologies, algorithms and numerical techniques
• Work on general efficiency improvement and optimization of the analytical libraries
• Work with IT teams to integrate analytic libraries
• Development and maintenance of the quant infrastructure, databases and productivity tools
• Supporting the build, testing and release management of the model libraries
• Work on Regulatory and Governance based projects across a range of the asset classes
• Performing data analysis and producing regular reports

Required skills:

• Proven track record of developing and supporting analytics library for pricing and risking Rates, Credit, Equities, Commodities derivatives is an advantage
• 10 + years of experience working on Regulatory based projects such as Model Risk, Basel III, Stress Testing, FRTB, CCAR is an advantage
• Solid mathematical finance and statistical analysis skills
• Knowledge of probability and stochastic calculus
• Familiarity with Numerical analysis/Monte-Carlo methods
• Experience developing software for Windows and Linux
• Good command of scripting using UNIX Shell (ksh, bash, etc), Python and VBA
• Knowledge of Relational Databases (Mongo, etc) databases is a plus
• Knowledge/experience with Machine Learning Tools and Frameworks (scikit-learn, Teano, Keras, etc) is a plus

• Good command of programming using C++, Python
• Outstanding analytical and problem solving skills
• Thorough and detailed approach to accuracy are essential
• Ability to follow procedures and operate within strict guidelines
• Excellent verbal and written English
• Ability to take ownership and proactively follow up on issues

Ability to work in a team and to work well under pressure

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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.

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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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