Quantitative Analyst

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location.Duties: Identify sources of major market risk of over-the-counter derivatives and capture them in margin methodologies. Identify margin reduction transactions and provide detailed analysis of the financial impact on business performance. Develop and document new models to expand product coverage and market features. Develop analytical utility tools for traders and quants. Develop model performance test methodologies (back testing, stress tests, benchmarking, etc.). Prepare technical reports for senior management, business, risk management functions, and regulators. Maintain existing libraries and packages for calculation of price and risk. Provide support to the business to explain large changes in margin numbers and investigate production issues. Use advanced knowledge of risk management to measure market and credit risk for all financial derivative portfolios. Support regulatory reporting of margin numbers and investigate any margin shortfall. 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 Operations Research, Mathematics, Finance, Computer Science, or a related field, and three (3) years of experience in the job offered or in a related occupation in the financial services industry. Employer will accept pre- or post-Master’s degree experience. Three (3) years of experience must include: Utilizing Python, C++, JavaScript, or VBA in developing pricing and analytics libraries and online applications; Utilizing advanced programming concepts including object-oriented programming, multi-threading, and multi-process programming in tool design and implementation; Analyzing complex finance issues including risk management, trading strategies, and financial market regulations; Designing risk models and creating portfolio reporting and model testing libraries; and Testing quantitative pricing and risk management models for financial products utilizing stochastic calculus, probability theory, and Monte Carlo simulation in a professional setting. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID # 24768139. EO Employer.Wage Range: $175,000 to $175,000/yearJob Family Group: Institutional TradingJob Family: Quantitative Analysis------------------------------------------------------Job Family Group:------------------------------------------------------Job Family:------------------------------------------------------Time Type:Full time------------------------------------------------------Primary Location:New York New York United States------------------------------------------------------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.------------------------------------------------------Anticipated Posting Close Date:Sep 14, 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.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.View the "EEO is the Law" poster. View the EEO is the Law Supplement.View the EEO Policy Statement.View the Pay Transparency Posting