Credit Quantitative Analyst

We are seeking a highly skilled and experienced VP Quantitative Analyst to join our Spread Products Credit Quant Team in New York. This is a crucial role at the forefront of our business expansion, where you will support our market-making capabilities in new and innovative credit structures. You will be responsible for the end-to-end development of sophisticated models and their high-performance implementation within our C++ library, directly impacting our trading capabilities and product offerings.

Key Responsibilities

Model Development & Implementation:

• Design, develop, and implement sophisticated mathematical models for credit contingent securities and numerical methods.
• Implement and maintain the models, robust and efficient numerical methods for pricing, valuation, and risk management within the existing C++ quantitative library.
• Enhance and maintain the analytics infrastructure, ensuring the high performance, accuracy, and scalability of all models.

Collaboration & Support:

• Collaborate closely with trading, structuring, and technology teams to understand business requirements and deliver cutting-edge quantitative solutions.
• Provide expert quantitative support to front-office teams on credit contingent securities and structures.
• Design and maintain Python-based tools and solutions to empower traders with new trade pricing, scenario analysis, and risk management capabilities.

Risk Management & Governance:

• Conduct thorough model testing, validation, and documentation to meet rigorous internal standards and regulatory requirements.
• Work in close partnership with control functions such as Financial Control, Compliance, Model Validation, Market and Credit Risk, and Audit to ensure an appropriate governance and control infrastructure.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients, and assets.
• Drive compliance with applicable laws, rules, and regulations, adhering to all policies and applying sound ethical judgment.

Qualifications

• Education: A Master’s degree or higher in a quantitative field such as Mathematics, Physics, Financial Engineering, or Computer Science is preferred.
• Experience: 4-5 years of experience in a comparable quantitative modeling or analytics role, ideally focused on Fixed Income Products and Markets.
• Technical Skills:
  • Expert-level programming skills in C++ for a production environment.
  • Strong proficiency in Python for analytics, tooling, and data analysis.
  • Deep understanding of probability theory, stochastic calculus, and numerical methods used to evaluate complex financial instruments.
  • Solid foundation in software design principles and best practices.
• Product Knowledge: Demonstrable knowledge of fixed income markets, products and conventions as well as quantitative methods.
• Communication: Consistently demonstrates clear and concise written and verbal communication skills, with the ability to be a team player and explain complex concepts to diverse audiences.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

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Job Family Group:

Institutional Trading

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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:

$175,000.00 - $250,000.00

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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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

 

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