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Quantitative Analyst

https://www.citi.com/ Logo

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:

200000.00 - 250000.00 USD / Year
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Job Description:

Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Job Responsibility:

  • Write new or extend existing quantitative pricing models and test mathematical specifications of credit contingent financial instruments for credit default Swaps, bonds, credit contingent options, defaultable swaps, callable bonds, etc
  • Prepare and submit model documentation for validation
  • Add changes / tests to Ongoing Performance documentation framework
  • Implement new or improve existing pricing models in the credit analytics library using C++
  • Collaborate with Technology in rolling out credit analytics, testing the improvements implemented in credit analytics and analyzing the results pre-production rollout
  • Integrate Xing Framework in analytics, collaborate with front office Multi Asset Risk System (MARS) application team on onboarding production trades onto Xing infrastructure
  • Provide quantitative analysis of production trades for Risk and Financial Controllers
  • Run stress tests on existing and new structures and provide analysis for traders
  • Provide daily support and analysis on P&L (Profit and loss), risk, and PAA (P&L Attribution Analysis)
  • Design, implement, test, rollout and maintain tools for GSP's market-making activities

Requirements:

  • Bachelor's degree, or foreign equivalent, in Mathematics, Finance, Physics, or a related field, and six (6) years of experience in the job offered or in a related quantitative occupation
  • Six (6) years of experience must include: Conducting data analysis including correlations, volatilities and stressed volatilities studies, regression analysis, outlier detection, and backfilling
  • Working with stochastic processes and standard statistical theories and applications to develop analytical and simulation-based methodologies for predicting stress loss for market risk and counterparty credit risk
  • Using python statistical coding software to build and test prediction models for stress losses and other risk metrics based on Monte-Carlo simulation method and advanced sampling techniques
  • Using advanced mathematical skills to assess model performance for risk metrics including VaR and EDS
  • Participating in model development or validation process including model documentation, performance analysis, obtaining approval from model validation, and maintaining model through ongoing performance analysis and annual model reviews
  • Providing support for model implementation, production processes, and system integration
  • Working with Linux system and industry standard code management protocols and tools and collaborating to build end-to-end infrastructure for risk metric calculation in production environment
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
  • discretionary and formulaic incentive and retention awards

Additional Information:

Job Posted:
March 21, 2026

Expiration:
May 05, 2026

Employment Type:
Fulltime
Work Type:
Hybrid work
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