Quantitative Analyst - Equity Derivatives - Assistant Vice President - NEW YORK

The Quantitative Analyst is a strategic professional who stays abreast of developments within their field and contributes to directional strategy by considering their application in their own job and the business. Recognized technical authority for an area within the business.

The role involves working closely with Trading, Sales, Structuring, and Risk and Control Functions. The principal responsibility is the development of pricing models within the strategic Equity Derivatives analytics library. Experience of 2 to 4 years with standard equity derivatives models and products are essential, alongside strong mathematical and programming skills (Python). The successful candidate will have strong problem-solving skills and the ability to communicate clearly with a wide variety of stakeholders.

Responsibilities:

Develop analytics libraries used for pricing and risk-management of Equity Derivatives.

Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including Machine Learning, GenAI, reinforcement learning, and Python.

Develop hedging methods 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.

Build a culture of responsible finance, good governance and supervision, expense discipline and ethics.

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.

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:

Strong experience in a comparable quantitative modeling or analytics role, ideally in the financial sector.

Must have technical/programming skills; Python. 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.

Experience with Machine Learning, GenAI, and reinforcement learning.

Consistently demonstrates clear and concise written and verbal communication skills.

Education:

Master’s or PhD in a relevant field.

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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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

$150,000.00 - $175,000.00

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.

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Anticipated Posting Close Date:

Nov 08, 2024

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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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