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Are you a strategic and highly skilled Quantitative Analyst with a recognized technical authority in Interest Rate Derivatives? Citi is seeking an experienced professional to join our team, working closely with Trading, Sales, Structuring, and Risk & Control Functions. This pivotal role involves contributing to directional strategy and applying your expertise to pricing model development within our strategic Interest Rate analytics library.
Job Responsibility
Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives
Create, implement, and support quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools
Develop sophisticated pricing models using advanced numerical techniques for valuation, such as Monte Carlo Methods and partial differential equation solvers
Collaborate closely with Traders, Structurers, and technology professionals to deliver effective solutions
Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance to ensure appropriate governance and control infrastructure
Contribute to building a culture of responsible finance, good governance and supervision, expense discipline, and ethics
Appropriately assess risk/reward of transactions when making business decisions
Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services
Adhere to all policies and procedures as defined by your role and maintain all required registrations/licenses within the appropriate timeframe
Appropriately assess risk when making business decisions, safeguarding Citigroup, its clients, and assets by driving compliance with applicable laws, rules, and regulations
Requirements
Experience in a comparable quantitative modelling or analytics role, ideally within the financial sector
Experience with standard rates models (SABR, HJM, Markov functional) and products (Swaptions, CMS, Path-Dependent Exotics)
Excellent technical/programming skills in C++ and Python
Proficiency in statistics and probability-based calculations, including using probability theory to evaluate risks, solve analytical equations, and design numerical schemes for complex financial instruments
Strong understanding of software design and principles
Consistently demonstrates clear and concise written and verbal communication skills
Master’s or PhD degree in a relevant quantitative subject
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