Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location.

Duties: Provide analytical models used for pricing securities and risk managing the Firm’s positions across a range of Fixed Income and Equity products. Cover model development and implementation, hedge efficiency, calibration algorithms, and risk measures. Research the mathematical derivation of a pricing model for equity and cross-asset products. Implement and enhance analytical models in the C++ equity and multi-asset library. Write and perform unit tests and regression tests covering significant test cases for newly developed pricing and risk models. Perform model validation submission for existing or newly developed base or product models. Design and develop optimization and calibration schemes in C++ and Python based on historical time series or current market prices. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.

Requirements: Master’s degree, or foreign equivalent, in Mathematics, Finance, or a related field, and two (2) years of experience in the job offered, or in a related occupation in the financial services industry. Employer will accept pre- or post- Master’s degree experience. Two (2) years of experience must include: Utilizing financial mathematics to design models and perform research into models and markets; Programming financial models and algorithms in C++, C#, Python, and VBA to develop and implement financial models; Working with multi-asset products including interest rate, credit, FX, equity, and commodities as well as Quantitative Investment Strategy index products; Writing model documentation including model design, model usage, and ongoing testing techniques; Analyzing finance issues such as asset valuation, trading, risk management, and financial market regulation; & Testing quantitative pricing and risk management models for financial products using stochastic calculus, probability theory, and Monte Carlo method. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ . Please reference Job ID # 24753978. EO Employer.

Wage Range: $175,000 to $175,000/year

Job Family Group: Institutional Trading

Job Family: Quantitative Analysis

Job Family Group:

Job Family:

Time Type:

Full time

Primary Location:

New York New York United States

Primary Location Full Time Salary Range:

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

Anticipated Posting Close Date:

Jul 30, 2024

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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Citi is an equal opportunity and affirmative action employer.

Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.