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Quantitative Analyst - Agency Lending

Job Req ID 21358526 Primary Location New York, New York Job Category Institutional Trading
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Agency Securities Lending Senior Quantitative Analyst – New York

Agency Lending, within Citi Securities Services, partners with institutional investors to enhance their portfolio returns by lending equity and fixed income securities. Citi's key strengths include: unsurpassed global branch network, open architecture, robust risk management and real-time controls, flexibility, innovation, dynamic reporting and overall market leadership. The product is also viewed as a critical source of liquidity in both the equity and fixed income markets as well as a significant liquidity provider in global short term money markets through its cash management operations.
Citi provides 24 hour trading coverage and client services through its business locations in Sydney, Hong Kong, London, Dublin & New York. Citi’s strategic presence in these locations is designed to align our business with our client base, and provide a platform to target new client mandates. Our traders invest in excess of $50B in cash collateral generated from securities lending transactions for leading global institutional investors including Sovereign Wealth Funds, Pension Funds, Insurance Companies, and Mutual Funds.


  • Design and develop analytical applications for traders and senior management to visualize action opportunities for lending.
  • Build predictive and computational pricing models (C# / Python) for price discovery using numerical, statistical and machine learning techniques.
  • Work with technology partners and execute on business requirements taking projects from concept to delivery.  
  • Lead short and long-term analysis efforts, focusing on equity and lending market microstructure, borrower behavior and inventory optimization.
  • Leverage expertise in advanced analytical modeling using R and Python to conduct ad-hoc analysis providing insights that support trading desks decision making process.
  • Document models and coordinate with model risk governance review group for model approval.
  • Interface with global business/trading, operations, technology, and client relationship teams to develop expertise of the Securities Services systems and the client analytics needs to actively contribute to the roadmap and evolution.


  • 7+ years of experience in a comparable quantitative modeling or Lead analytics role, ideally in the front office position.
  • Must have technical/programming skills; Expertise with SQL, C#, R or Python and data visualization tools such as Qlikview for full stack data analysis, insight synthesis and presentation.
  • 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
  • Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, and have a sound understanding of Software design and principles.
  • Candidate must be well versed applying statistical modeling, data science and machine learning techniques.
  • Experience working with big data technologies such as Hadoop and Spark preferred.
  • Experience and knowledge of prime finance and securities lending is an added plus.
  • Good working knowledge of financial products and global market concepts, including experience with financial modeling of options


  •  MFE or M.S in quantitative discipline; Financial Engineering, Computer Science, Operational Research, Mathematics and Statisics.                                                                                                                                                                                          


  • Hands on problem solver, diligent, motivated by challenging projects.
  • Passion and technical competency in quantitative modeling and business analytics.
  • Demonstrate clear and concise written and verbal communication skills. Ability to translate and articulate technical thoughts and ideas to a larger audience including influencing skills with peers and senior management.
  • Detail oriented, ability to deep dive on processes, propose new solutions and improve control/efficiencies.
  • Ability to analyze and integrate information from disparate systems to create a cohesive, comprehensive analytic data model on which to build analytic solutions.
  • Markets & Securities knowledge and experience.
  • Ability to multitask and work under time pressure.
  • Self-motivation, strategic thinker and entrepreneurial disposition.
  • Self-directed and taking projects from concept to delivery.
  • Ability to build and working relationships with colleagues across Securities Services.   


Job Family Group:

Institutional Trading


Job Family:

Quantitative Analysis


Time Type:


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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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