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

Duties: Develop models and methodologies to calculate and optimize initial margins of Over the Counter (OTC) financial derivatives portfolios. Portfolios contain derivative transactions in all asset classes including interest rates, credit, emerging markets, FX, equities, mortgage, and commodities. Identify sources of major market risks of OTC derivatives and capture them in margin methodologies. Provide daily support to business to explain large changes of margin numbers to clients and investigate production issues promptly. Develop new models to expand product coverage and market features. Develop analytic utility tools for traders and quants. Develop model performance test methodologies (back testing, stress tests, benchmarking, etc.). Prepare technical reports for senior management, business, and risk management functions, and regulators. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements: Master’s degree, or foreign equivalent, in Finance, Mathematics, or a related field, and two (2) years of experience in the job offered, or in a related quantitative or analytics role in the financial services industry. Employer will accept pre- or post- Master degree experience. Two (2) years of experience must include: Utilizing C++, Python, or Java as a core programming language for writing financial applications using big data manipulation techniques, memorization, and lazy code evaluation; Writing SQL queries and connecting to transactional databases for analyzing vast amounts of data; Working with market data, statistics and probability calculations to calculate margin, margin drivers, and margin calculators; Evaluating risks of complex financial instruments, solving analytical equations, and designing numerical schemes to analyze complex contracts; and Applying quantitative knowledge of fixed income instruments to develop risk calculation and monitoring tools. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID #24780397. EO Employer.

Wage Range:                $200,000.00 to $250,000.00

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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Anticipated Posting Close Date:

Oct 07, 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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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