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Quantitative Analyst - Initial Margin

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Citi

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Location:
United States , New York

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Category:
Finance

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Contract Type:
Not provided

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Salary:

175000.00 - 250000.00 USD / Year
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Job Description:

As a Front Office Quantitative Analyst specializing in Initial Margin, you will join a high‑performing team responsible for building and enhancing models and methodologies that calculate and optimize initial margin for OTC derivatives across all major asset classes—including Rates, Credit, FX, Equities, Emerging Markets, Commodities, and Mortgages.

Job Responsibility:

  • Identify major market risk drivers of OTC derivatives and translate them accurately into robust margin methodologies
  • Provide daily analytical and production support to Front Office stakeholders, explaining significant margin movements and resolving issues promptly
  • Develop new quantitative models to expand product coverage and incorporate evolving market features, as well as build analytics tools used by traders and quants
  • Design and implement model performance testing frameworks—including backtesting, stress testing, and benchmarking against alternative methodologies
  • Produce high‑quality technical documentation and presentations for senior management, Risk, Front Office, Model Validation, and regulatory bodies

Requirements:

  • Strong analytical and quantitative skills, with expertise in statistics and Extreme Value Theory (EVT)
  • Proficiency in programming languages such as C++, Python, and R
  • Extensive experience in OTC derivatives pricing, risk modeling, and market risk frameworks
  • Postgraduate degree (Master's or PhD) in Mathematics, Physics, Finance, Computer Science, or a related quantitative discipline
  • Ability to operate effectively in a fast‑paced environment with evolving regulatory demands
  • Excellent verbal and written communication skills, capable of simplifying complex quantitative concepts for diverse stakeholders
What we offer:
  • Competitive compensation and performance‑based incentives
  • Comprehensive medical, retirement, and employee benefit programs
  • Hybrid work arrangements (role‑dependent)
  • Extensive professional development resources and career mobility opportunities
  • A culture that values innovation, learning, and continuous improvement
  • medical, dental & vision coverage
  • 401(k)
  • life, accident, and disability insurance
  • and wellness programs
  • paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

Additional Information:

Job Posted:
March 20, 2026

Employment Type:
Fulltime
Work Type:
On-site work
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