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

Duties: Develop and improve automated algorithm used by traders to trade, hedge, and risk-manage G10 Rates financial instruments, including U.S. Treasury securities, interest rate swaps, and TBA using Java, C++, Python, and KDB. Construct and maintain analytics tools for analyzing market activity (prices, volumes), client-facing transactions performance and profitability, and the quality of pricing. Perform data mining and data analysis. Conduct data cleaning, data analytics, data mining, and feature engineering on internal and publicly available securities and derivatives transaction data. Build data-mining tools to analyze past prices, and risks and performance of financial instruments and portfolios. Develop machine-learning based predictors for various quantities involved in trading (prices of financial instruments, volumes, bid-offer spreads) and calibrate predictors. Improve predictors through exploring new database and feature engineering. Develop automated and semi-automated algorithm strategies and simulations and historical back-tests of the behavior of these strategies. Construct risk metrics for G10 Rates financial instruments, through building and configuring yield-curves and hedge models, for modelling transactions risks and managing risks. Maintain and develop technological infrastructure such as committing code to repositories, running unit/integration tests, building tools for unit/integration testing, implementing tests, and reviewing code. Educate traders about the technical details involved in the models built for them. 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 Mathematics in Finance, Mathematics, Financial Engineering, or a related field, and two (2) years of experience in the job offered, or in a related occupation in the financial services industry. Two (2) years of experience must include: Utilizing programming languages including C++, Java, and C# and handling implementation, debugging, and code reviews of pricers and pricing/trading algorithms; Utilizing programming languages including Python, q/KDB, R, and MATLAB and implementing machine learning algorithms, researching price-predicting indicators, and implementing framework to perform daily model calibrations; Overseeing bond and swap valuation and building pricers for bonds and swaps, analyzing risk of bond and swap instruments, building yield curves, and predicting profitability of bond and swap trades; Developing machine learning based predictors for various quantities involved in trading and calibrating these predictors using Python packages including Pandas, NumPy, SciPy, and Scikit-learn; Cleaning data for modelling and constructing various reports for traders including profitability, volume, and competitiveness; Assessing performance of models and algorithms from production data and running historical simulations (back-tests) for the various models; Cleaning internal and public transaction data by designing data schemas for storing and analyzing transaction data; and Building live pricers for G10 rates financial instruments and educating traders about technical details involved in the models built for them. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/.  Please reference Job ID # 24754022. EO Employer.

Wage Range:               $160,000.00 to $175,000.00

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 02, 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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