MQA In-Business Risk Team

The front office Market Quantitative Analysis (MQA) team is looking for a quantitative analyst to support the front office In-Business Risk team, working along with the trading and XVA desks in managing their market risk metrics and capital.

Responsibilities:

Some key responsibilities include:

• Build analytical tools and applications for the business and traders’ use to assess market risk, stress loss 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 improve existing pricing models, to align with regulatory requirement and strengthen the process used for calculating risk metrics and valuation.

• Develop well-structured high-quality code and contribute to contribute to large-scale in-house python and C++ analytics libraries.

• Stay attuned to recent AI/ML advances, harnessing their power to bolster business support and analysis.

• 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 behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

• 4+ years of experience in quantitative modeling in the financial industry. Must possess product knowledge of at least one asset class. Experience in Rates or Equities is a plus. Exposure to pricing models to evaluate risks of complex financial instruments is a plus.

• Must have strong technical/programming skills such as in python or C++. Experience in collaborative code development through use of Git/Bitbucket and similar platforms. Familiar with software development principles. Able to design, structure, and modularize complicated program.

• Familiar with SQL, and experience working with large dataset. Skilled in data cleaning, transformation, and processing using Python libraries such as pandas and numpy.

• Proficiency in delivering solutions using front-end frameworks like Angular and visualization tools like Tableau is a plus.

• Understanding of commonly used market risk metrics and method such as VaR, stress testing.

• Clear and concise written and verbal communication skills.

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

Education:

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

Job Family Group:

Institutional Trading

Job Family:

Quantitative Analysis

Time Type:

Full time

Primary Location:

New York New York United States

Primary Location Full Time Salary Range:

$175,000.00 - $250,000.00

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.

Anticipated Posting Close Date:

Jul 12, 2024

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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Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.