Quantitative Analyst, Citi

Citi

Location:
United Kingdom, London

Category:
Finance

Contract Type:
Not provided

Salary:

Not provided

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Job Description:

Citi is seeking a highly skilled and strategic Quantitative Analyst at the VP level to join its Markets Treasury & Financing team in London. This role offers the opportunity to apply advanced quantitative skills to critical aspects of the Markets Treasury & Financing business, including RWA optimization, G-SIB score analysis, and return on Tangible Common Equity attribution. The analyst will develop cutting-edge tools and strategies to analyze and optimize key risk and performance metrics across developed and emerging markets.

Job Responsibility:

Calculate itemized attribution of Risk Weighted Asset, G-SIB score, and return on Tangible Common Equity for Fixed Income Finance business
Develop tools and strategies to analyze and optimize critical risk and performance metrics
Apply mathematical optimization methodologies to strategize balance sheet utilization, enhance liquidity, and reduce capital charges
Build auto-pricing platform in Java for government security Repurchase Agreement market RFQs
Use Generative AI to develop cutting-edge Trading Assistants
Design and develop automated systems for pricing, market analysis, and risk management using Python, Java, SQL, KDB/Q
Design and implement full-stack system with Python and JavaScript for interactive front-end user interface
Create, implement, and support quantitative models for Fixed Income trading business
Design database structures and write SQL and KDB queries for data manipulation and retrieval
Collaborate with Fixed Income Market Traders, Sales teams, Structurers, and technology professionals
Provide stakeholders with analytical support and coordinate deployment of new features
Partner with control functions including Legal, Compliance, Market and Credit Risk, Audit, and Finance

Requirements:

Master's degree in Financial Engineering, Financial Mathematics, or related quantitative field
Demonstrated experience performing quantitative statistical modelling and data analysis for calculating Risk Weighted Asset and Global Systemically Important Bank score
Proven ability to calculate return on Tangible Common Equity for the Fixed Income Finance business
Expertise in applying statistical methods including linear programming and time series analysis
Proficiency in Convex Optimization, Monte-Carlo methods, Bayesian estimation, Stochastic modelling, Local Volatility model
Track record of developing multi-asset derivative pricing models, risk assessment, and portfolio optimization
Experience in developing algorithmic trading systems for fixed income securities
Demonstrated ability to optimize capital charges and margin posting
Strong coding skills in Python and JavaScript for Windows and Linux systems
Proficiency in full-stack software development using Python and JavaScript
Experience developing front-end UI in JavaScript and API in Python
Understanding of quantitative model validation
Skill in writing SQL and KDB/Q queries
Proficiency in Python, C++, JavaScript, and the Q language in KDB+ database

What we offer:

Strategic impact on firm-wide metrics
Advanced quantitative development opportunities
Full-stack and automated solutions development
Diverse technical stack exposure
Collaborative environment
Career growth and professional development

Additional Information:

Job Posted:
October 09, 2025

Employment Type:

Fulltime

Work Type:

On-site work

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Quantitative Analyst