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Citibank, N.A. seeks a Structurer 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:
Assess, quantify and manage foreign exchange (FX) risk using statistical methods and portfolio theory
Perform Monte Carlo simulations to model the randomness and variability of currency movements under various scenarios
Implement bespoke quantitative algorithms to simulate paths for currency movement trajectories to provide precise risk assessments (VaR) and formulate optimal hedging strategies tailored to client’s unique exposures
Facilitate the development of comprehensive risk models and strategies that quantify and manage individual currency risks, and consolidate the portfolio risk for a balanced approach that minimizes risk and increases cost-effectiveness
Price complex derivatives and exotic structure using pricing models
Leverage stochastic calculus, numerical methods, and programming languages
Coordinate with trading team to ensure the pricing mechanisms reflect the timely market conditions and the pricing assumptions are aligned with trading strategies
Ensure hedging structures meet the financial reporting and transparency requirements based on GAAP and IFRS
Research emerging market product capabilities, local regulations, and market conduct to structure effective FX hedging solutions by analyzing cross-border capital flows, currency control regimes, and localized trading practices
Craft automated tools to incorporate real-time data feeds and advanced financial metrics improving scalability and responsiveness of the models
Translate quantitative findings and risk assessments into actionable insights
Requirements:
Bachelor’s degree, or foreign equivalent, in Finance, Economics, Mathematics, or related field
2 years of progressive, post-baccalaureate experience as a Sales & Trading Program Analyst, Salesperson, Structurer, or related position involving foreign exchange risk analysis, derivatives and structures pricing, and hedge accounting in a global financial service institution
Statistical analysis and quantification of foreign exchange risks
Option pricing including foreign exchange derivatives and exotic structures
Hedge accounting regulations and practice standards including U.S. GAAP and IFRS
Knowledge of emerging market foreign exchange capabilities and local regulations
Quantitative analysis for foreign exchange trading strategies development
Statistical model building for risk quantification and optimization of hedging portfolios
Up to 10% domestic travel required
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