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Citibank, N.A. seeks a Quantitative Trader for its New York, New York 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:
Apply mathematical or statistical techniques to address practical issues in finance, such as derivative valuation, securities trading, risk management, or financial market regulation
Interpret results of financial analysis procedures
Provide application or analytical support to researchers or traders on issues such as valuations or data
Devise or apply independent models or tools to help verify results of analytical systems
Develop core analytical capabilities or model libraries, using advanced statistical, quantitative, or econometric techniques
Maintain or modify all financial analytic models in use
Identify, track, or maintain metrics for trading system operations
Research or develop analytical tools to address issues such as portfolio construction or optimization, performance measurement, attribution, profit and loss measurement, or pricing models
Consult traders or other financial industry personnel to determine the need for new or improved analytical applications
Research new financial products or analytics to determine their usefulness
Produce written summary reports of financial research results
Prepare requirements documentation for use by software developers
Requirements:
Master’s degree or foreign equivalent in Computational Finance, Computer Science, Financial Engineering, Information Science or a related field and 3 years of experience as a Quantitative Trader, Quantitative analysis Program Analyst, Algorithmic Trader or related position Trading global currencies for a global financial institution
Will also accept a Bachelor’s degree or foreign equivalent in the above disciplines and 5 years of progressive, post baccalaureate experience as listed above
3 years of experience must include: Electronically conduct Market Making currency trading for global currencies for a global financial institution through model parametrization, manual hedging, skews and proprietary views
Assessing algo hedging decisions to improve trade monetization
Improving bid/offer depth of book calibration during volatile market conditions to provide consistent pricing for clients and monetizing risk exposure
Enhancing inventory and skewing models by providing real time feedback to the quantitative research team
Efficiently use KDB to rapidly prototype applications, reports and iterate high frequency data
Liaise with sales to make data driven decisions using trade and rfq data to analyze market impact and stream optimization
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