Fx Options Quantitative Analyst (Vice President) Job at Citi (London)

Job Description

FX Options Quantitative Analyst is a strategic professional within the Markets Quantitative Analysis (MQA) department with a specialized focus on FX Options modelling. This role contributes to directional strategy by applying deep technical expertise in quantitative modelling, particularly for FX and interest rate products. The ideal candidate will have several years of experience in quantitative model development, demonstrating proficiency in C++ programming and a working knowledge of Python for analytical tasks. This position demands strong analytical capabilities, the ability to communicate complex technical concepts effectively, and the capacity to influence colleagues and stakeholders across the organization. The individual will have a significant impact on the quantitative risk assessment and model integrity within the FX Options business.

Job Responsibility

Develops, enhances, and validates quantitative models and methodologies, specifically for measuring and analyzing market risk in FX Options, including exotic products. This encompasses model development, independent validation and ongoing performance evaluation
Manages model risk across the model life-cycle, including model validation, ongoing performance evaluation and annual model reviews for FX Options models
Produces advanced analytics and reporting to support risk management for Citi’s FX Options operations
Translates complex business requirements and intricate financial concepts into robust programming and data criteria, conducting thorough system and operational research to model expected results
Develops and enhances high-performance analytic engines for FX Options product lines, primarily utilizing C++
Communicates complex quantitative model results and validation findings to diverse audiences, including senior management
Conducts thorough analysis and prepares detailed technical documentation for model validation, adhering to regulatory guidelines and industry best practices
Provides effective challenge to model assumptions, mathematical formulation, and implementation, specifically in the context of FX Options and interest rate products
Assesses and quantifies model risk due to model limitations, informing stakeholders of their risk profile and contributing to the development of limitation actions
Participates in cross-functional initiatives aimed at solving complex business problems related to quantitative finance
Identifies opportunities for enhancing existing models and developing new quantitative solutions that yield measurable business results
Provides guidance and mentorship to junior quantitative analysts
Manages stakeholder interactions with model developers and business owners throughout the model life-cycle
Represents the bank in interactions with regulatory agencies, as required, regarding model validation and risk management practices
Presents model validation findings and quantitative analysis to senior management and supervisory authorities
Contributes to strategic, cross-functional initiatives within the model risk organization
Appropriately assesses risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency

Requirements

Relevant experience in quantitative model development within a financial institution, with significant exposure to FX or interest rate products
Proficiency in C++ is essential
working knowledge of Python is also required for scripting and analysis
Solid understanding of stochastic calculus, numerical methods (e.g. Monte Carlo simulations, finite difference methods) and option pricing theory
Demonstrated experience with quantitative modelling for market risk, specifically in FX Options or interest rate derivatives
Excellent analytical, problem-solving and critical thinking skills, with the ability to effectively challenge complex models
Consistently demonstrates clear and concise written and verbal communication skills, with the ability to articulate complex technical concepts to both technical and non-technical audiences
Self-motivated, detail-oriented, and capable of managing multiple projects simultaneously in a fast-paced environment
Proven ability to work effectively in a team-oriented environment and manage stakeholder interactions
Master’s or PhD in a quantitative discipline (e.g. Financial Engineering, Mathematics, Physics, Computer Science or a related field) is highly preferred. A Bachelor's degree with exceptional relevant experience will also be considered

What we offer

Generous holiday allowance starting at 27 days plus bank holidays
increasing with tenure
A discretional annual performance related bonus
Private medical insurance packages to suit your personal circumstances
Employee Assistance Program
Pension Plan
Paid Parental Leave
Special discounts for employees, family, and friends
Access to an array of learning and development resources

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Fx Options Quantitative Analyst (Vice President)

Job Description

Job Responsibility

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