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Citigroup Global Markets Inc. seeks a Model/Analysis/Validation Officer, VP for its New York, New York location.
Job Responsibility:
Develop pricing models and create analytical tools for pricing and calibration
Partner with structurers and traders on new product development
Support the trading desk
Provide quantitative training for quant and trading teams
Manage model governance and performance
Research new pricing models from various sources including academic literature and industry presentations
Use numerical techniques for valuation including Monte Carlo Methods and partial differential equations
Implement pricing models in the model library using C++ and Python
Write payoff scripts to model new products
Perform quantitative analysis to help businesses understand risks and characteristics of new products
Develop ad-hoc tools for pricing, quoting, and maintenance of new products
Write documents to describe model and product details and risk characteristics for model validation group
Design and perform numerical and statistical tests of models to ensure proper quality and full compliance
Coordinate with finance and controller teams to address any issues related to P&L and Model Reserve calculations
Modernize and digitize traditional security prices
Initiate and lead technical discussions between trading desks, market quants, and technology on the development and building of pricing platforms
Address issues related to pricing and trading securities on the platform
Examine and interpret P&L to ensure compliance with regulatory requirements
Construct static and dynamic replicating portfolios with liquid instruments to hedge and manage risk
Build new tools to automate model parameter calibration process and reduce operational risk
Develop statistical models to analyze historical data and make predictions
Back-test model performance and make enhancements
Requirements:
Master’s degree, or foreign equivalent, in Mathematics or a related field and 4 years of academic or work experience as a Quantitative Analyst, FX Options Quantitative Analyst, or related position developing quantitative pricing models for a global financial services institution
4 years of academic or work experience must include: Working with financial instruments including exotics equity derivatives
Numerical methods including Monte Carlo
Python
Statistics, Probability Theory, Data science, machine learning
3 years of experience must include: Partial differential equations
C++ and SQL
P&L and Model Reserve calculations
Working with regulatory requirements including model documentation, assessing model performance, and evaluating models missing risks
Developing statistical models to analyze historical data
What we offer:
medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays