Quantitative Analyst, Citi

Citi

Location:
United States, New York

Category:
Finance

Contract Type:
Employment contract

Salary:

200000.00 - 250000.00 USD / Year

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Job Description:

Citigroup Global Markets Inc. seeks a Quantitative Analyst, VP for its New York location to develop analytical libraries and quantitative models for pricing, hedging, liquidity management and risk management of fixed income securities and derivatives.

Job Responsibility:

Develop analytical libraries used for pricing, hedging, liquidity management and risk management
Create, implement, and support quantitative models for trading business
Develop optimization tools for constructing interest rate curves and computing spreads
Generate trading signals based on spreads to select optimal trades
Carry out post-trade analyses on rebalancing and risk management methodologies
Develop and maintain Excel and React based web tools to support trading and sales desks
Develop and maintain monitoring tools to ensure accuracy of marks and computed risks
Conduct quality control and compliance checks on market data
Perform data processing tasks to collect, process, and analyze data from macroeconomic and fixed income market data
Generate real-time alerts and reports to support sales and trading business
Verify and review data to identify errors or discrepancies
Collaborate with traders, structurers and technology professionals

Requirements:

Master's degree (or foreign equivalent) in Computational Finance, Mathematics, Statistics, or related field
5 years of experience as a Quantitative Analyst or related position involving quantitative modeling of fixed income products
Experience building interest rate curves on multiple assets and computing risk matrices
Experience creating hedging strategies for traded portfolios
Experience pricing, hedging, and managing risk exposures of global government treasuries, treasury futures and associated exchange traded options
Experience pricing, hedging, and managing risk exposures of single currency asset swaps, cross currency asset swaps, vanilla and customized swaps and associated over-the-counter options
Experience designing, implementing and maintaining real-time trading infrastructure to estimate mid-prices of securities for market making businesses
Experience writing model documentation including model design, model usage and model testing
Experience analyzing time series data with linear regression, principal component analysis, factor analysis, stochastic calculus, probability-based calculations, and advanced statistics
Programming using C++, KDB+ q, Python, React/JavaScript, VBA and Structured Query Language

What we offer:

Medical, dental & vision coverage
401(k)
Life, accident, and disability insurance
Wellness programs
Paid time off packages including vacation, sick leave, and paid holidays
Discretionary and formulaic incentive and retention awards

Additional Information:

Job Posted:
September 27, 2025

Expiration:
November 07, 2025

Employment Type:

Fulltime

Work Type:

Hybrid work

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Quantitative Analyst

Citi

Location:United States, New York

Category:Finance

Contract Type:Employment contract