Quantitative Trader, Equities Central Risk Book Job at Citi (New York)

Job Description

The Quantitative Trader for the Equities Central Risk Book is responsible for overseeing the Central Risk book, generating revenues, and managing book risk. This role involves developing and implementing quantitative strategies, improving risk models, and coordinating with various stakeholders to enhance trading performance.

Job Responsibility

Utilize quantitative techniques and intraday risk analytics to assist with Central Risk Book (CRB) trading and risk management
Utilize market risk models to manage trading book risk and tune parameters under an optimization framework
Monitor profit and loss (P&L) attribution and conduct backtests to adjust trading strategies
Conduct alpha research, quantitative analysis, and ongoing performance assessment to support the enhancement of existing P&L and trading strategies
Program high-performance research and execution systems in Python and KDB/Q to optimize alpha capture, reduce market impact, and enhance hedging effectiveness across trading desks
Partner with quantitative researchers and portfolio managers to optimize alpha capture, reduce market impact, and enhance hedging effectiveness through data-driven execution strategies
Liaise with control functions (Legal, Compliance, Market and Credit Risk, Audit, Finance) by providing data and analysis to support the firm's governance infrastructure and ensure appropriate controls
Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
Oversee and manage risk of trading books across stocks, ETFs, and delta-one products, ensuring compliance with firm-level capital allocation guidelines and regulatory risk frameworks
Review code, validate model assumptions, and ensure adherence to best practices in portfolio construction and risk management
Synthesize periodic strategic performance reviews for senior management
Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients, and assets.

Requirements

12+ years of experience in a quantitative trading or risk management role, preferably within a bank, Hedge Fund, or Asset Manager
Direct Central Risk Book experience with expertise in managing stocks, ETFs, and delta-one products
Advanced analytical, numerical, and coding competency, with proven experience in Python and KDB/Q for high-performance systems
Strong understanding and practical experience with quantitative risk modeling, including Barra market risk models and Barra GEM models
Demonstrated ability in alpha research, quantitative analysis, P&L attribution and back-testing to refine trading strategies
Proficient knowledge of Bloomberg, equity trading systems, trading protocols, and closing technicalities
Clear and concise written and verbal communication
Effective interpersonal skills to develop and maintain relationships with internal (quantitative researchers, portfolio managers, sales, control functions) and external stakeholders
Knowledge of equity trading products and clients
Required licensing and registrations as applicable
Bachelor's degree/University degree or equivalent experience.

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

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Quantitative Trader, Equities Central Risk Book

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