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Type of Role: Investments

Experience Level: VP/Principal/Director

Location: New York City, New York

Salary: $225K - $250K

Citigroup or Citi is an American multinational investment bank and financial services corporation incorporated in Delaware and headquartered in New York City. The company was formed by the merger of Citicorp, the bank holding company for Citibank, and Travelers in 1998; Travelers was spun off from the company in 2002.

Citigroup is the third largest banking institution in the United States by assets; alongside JPMorgan Chase, Bank of America, and Wells Fargo, it is one of the Big Four banking institutions of the United States. It is considered a systemically important bank by the Financial Stability Board and is commonly cited as being too big to fail. It is one of the eight global investment banks in the Bulge Bracket. Citigroup is ranked 36th on the Fortune 500. and was ranked #24 in Forbes Global 2000 in 2023.

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

Duties: Drive the development and enhancement of complex pricing and risk analysis solutions using stochastic calculus, Monte Carlo and differential equations in support of various credit trading desks. Formulate the analytical approach, the modeling framework and processes, and the quantitative tools to be used in the development of complex mathematical and quantitative risk models and tools. Develop analytics libraries used for pricing and risk management of credit products such as corporate bonds, credit default swaps, and synthetic collateralized debt obligations utilizing C++, Python and VBA as well as data analysis and visualization tools. Liaise with the trading desk to understand business requirements and develop strategies for model development. Coordinate with technology to implement models and instruct and discuss with other teams on their usage. Manage the model validation process from comprehensive documentation through to successful validation by working closely and constructively with stakeholders in business and model risk management. Work in close partnership with control functions such as Legal, Compliance, Market Risk, Audit, and Finance to ensure appropriate governance and control infrastructure. Understand implications of changes in capital rules for the business and help manage their RWA. Provide subject-matter expertise and leadership with regard to model implementation and validation. Remote work may be permitted within a commutable distance from the worksite in accordance with Citi policy.

Requirements: Bachelor’s degree, or foreign equivalent, in Financial Engineering, or a closely related quantitative field, and five (5) years of experience in the job offered, as a Quantitative Analysis Associate, or in a related occupation.  Five (5) years of experience must include: Developing analytics libraries for financial applications using C++, Java, and Python; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations, and design numerical schemes to analyze complex contracts; Utilizing knowledge of fixed income derivatives and financial products to develop product pricing and monitoring tools; Testing quantitative pricing and risk management models for financial products using stochastic calculus, probability theory, and Monte Carlo method; Analyzing finance issues such as asset valuation, trading, risk management, and financial market regulation; Utilizing fixed income pricing techniques for valuing fixed income instruments; and Applying programming concepts such as object-oriented programming, multi-threaded and multi-process programming in tool design and implementation. In the alternative, employer will accept a Master’s degree, or foreign equivalent, in Financial Engineering or a closely related quantitative field, and three (3) years of experience in the job offered, as a Quantitative Analysis Associate, or in a related occupation. Employer will accept pre- or post- Master’s degree experience. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ or by email to Citigroup Recruiting Dept. at NAMobilityRecruitment@citi.com. Please reference Job ID# 24720696. EO Employer.

Wage Range:                $225,000.00 – $250,000.00

Job Family Group:       Institutional Trading

Job Family:                  Quantitative Analysis

Primary Location:

New York New York United States

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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