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

Duties: Design, develop, and implement quantitative models for the business leveraging a range of statistical and numerical tools and methods, such as Monte Carlo and Historical Simulation. Perform in-depth diagnosis of the current market risk and capital models and processes, as well as partner with the business and other quant teams to propose and drive model enhancement. Interpret and present analytical results to the business and propose solutions. Build analytical tools for the business to assess market risk and capital metrics, and to develop efficient hedging strategies. Appropriately assess the risks and rewards of transactions when making business decisions. Develop and optimize large-scale in-house Python and C++ analytics libraries. Remote work may be permitted within a commutable distance from the worksite, in accordance with Citi policy.

Requirements: Master’s degree, or foreign equivalent, in Computational Finance, Computer Science, Mathematics, or a related field, and four (4) years of experience in the job offered or in a related occupation. Four (4) years of experience must include: Designing, developing and implementing quantitative models for a financial services business leveraging a range of statistical and numerical tools and methods, including Monte Carlo and Historical Simulation; Building and enhancing market risk Value-at-Risk (VaR) and Risk-Not-In-VaR (RNiV) models; Performing analysis for Fundamental Review of the Trading Book (FRTB) rules to drive prioritization; Writing model documentation including model design, model usage, and ongoing testing techniques; Utilizing Python to build libraries for managing risk metrics, evaluating hedging effectiveness and assessing model performance; Applying object-oriented programming in tool design and implementation; and Utilizing C++ and Python as core programming languages for writing financial applications using big data manipulation techniques, memorization, and lazy code evaluation. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ . Please reference Job ID # 24739901. EO Employer.

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

Job Family Group: Institutional Trading

Job 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:

Jun 14, 2024

Citi is an equal opportunity and affirmative action employer.

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Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.