Quantitative Analyst

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Job Overview

Citigroup Global Markets Inc. seeks a Quantitative Analyst, VP for its New York, New York location.

Duties: Develop analytical libraries used for pricing, hedging, liquidity management and risk management by creating, implementing, and supporting quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools including mathematical finance, probability, statistics, stochastics and software engineering. Develop optimization tools for constructing interest rate curves, computing single currency and cross currency asset swap spreads, optional-adjusted spreads and coupon adjusted spreads. Generate trading signals based on the spreads to select the optimal trades with rigorous back-tests and portfolio optimization.  Carry out post-trade analyses on rebalancing and risk management methodologies to optimize the portfolio returns and provide enhanced liquidity while minimizing the interest risk exposure of the trading desks. Develop and maintain a range of Excel and React based web tools to support the trading and sales desks to price, trade and hedge a range of fixed income securities including treasury bond, treasury bond futures and derivatives, interest swaps, invoice swaps, asset swaps, swaptions, inflation bonds and swaps, and repo and reverse repo products. Develop and maintain monitoring tools to ensure the marks and computed risks are accurate and tradable in the dynamic markets. Conduct quality control and compliance checks to ensure the accuracy and completeness of the streaming intraday ticking market data and end-of-day data. Perform data processing tasks to collect, process, and analyze data from the macroeconomic data, fixed income market data, and publicly available fixed income trade records. Generate real-time alerts and reports to support the sales and trading business to make optimal decisions to support clients. Verify and review the data to identify any errors or discrepancies and troubleshoot any issues that may arise in real-time to ensure the smooth operation of trading systems. Collaborate with traders, structurers and technology professionals and working in partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit and Finance to ensure appropriate governance and control infrastructure. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree (or foreign equivalent), in Computational Finance, Mathematics, Statistics, or related field and 5 years of experience as a Quantitative Analyst, Quantitative Analysis Program Analyst, or related position involving quantitative modeling of fixed income products and supporting fixed income trading business at a global financial services institution. 5 years of experience must include: Building interest rate curves on multiple assets and computing risk matrices; Creating hedging strategies for traded portfolios; Pricing, hedging, and managing risk exposures of the global government treasuries, treasury futures and associated exchange traded options; Pricing, hedging, and managing risk exposures of single currency asset swaps, cross currency asset swaps, vanilla and customized swaps and associated over-the-counter options; Designing, implementing and maintaining real-time trading infrastructure to estimate the mid-prices of various securities for market making businesses; Writing model documentation including model design, model usage and model testing; Analyzing times series data with linear regression, principal component analysis, factor analysis, stochastic calculus, probability-based calculations, and advanced statistics; and Programming using C++, KDB+ q, Python, React/JavaScript, VBA and Structured Query Language. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25908302. EO Employer.

Wage Range:                $200,000 to $250,000

Job Family Group:        Institutional Trading

Job Family:                  Quantitative Analysis

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

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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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Nov 07, 2025

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