MQA In-Business Risk Team The front office Market Quantitative Analysis (MQA) is looking for a quantitative analyst in the In-Business Market Risk MQA team, focusing on Equities, working along with trading and in-business risk managers in managing market risk metrics and capital.

Responsibilities

Some key responsibilities include

• Build advanced analytical tools and applications including AI powered apps, for the business and traders' use to assess market risk, stress loss and capital metrics, and to develop efficient portfolio level hedge strategies.
• Perform in-depth diagnosis of the current market risk and capital models and processes, partner with the business and other quant teams to propose and drive enhancement.
• Partner with traders, provide cost-benefit analysis to help on business prioritization, guidance and direction.
• Liaise with Equities asset class quant teams to improve existing pricing models, and strengthen the process used for calculating risk metrics and valuation.
• Develop well-structured high-quality code and contribute to contribute to large-scale in-house python libraries.
• Be the Equities SME in the team. Educate the team in equity products, pricing models, and relevant math.
• Stay attuned to recent GenAI/ML advances, harnessing their power to bolster business support and analysis.

Qualifications

• 6-10 years of experience in quantitative modeling in the financial industry. Must possess in-depth pricing model knowledge in Equities. Previous experience in developing and using stochastic calculus and pricing models to evaluate risks of complex financial instruments.
• Must have strong technical/programming skills in python. Experience in collaborative code development through use of Git/Bitbucket and similar platforms. Familiar with software development principles. Able to design, structure, and modularize complicated program.
• Familiar with SQL, and experience working with large dataset. Skilled in data cleaning, transformation, and processing using Python libraries such as pandas and numpy.
• Proficiency in delivering solutions using front-end frameworks like Angular and visualization tools like Tableau is a plus.
• Understanding of commonly used market risk metrics and method such as VaR, stress testing.
• Clear and concise written and verbal communication skills. Education
• A PhD or Master's degree in a technical discipline such as statistics, mathematics, physics, computer science, quantitative finance, operations research or similar. This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
• ----------------------------------------------------- Job Family Group Institutional Trading
• ----------------------------------------------------- Job Family Quantitative Analysis
• ----------------------------------------------------- Time Type Full time
• ----------------------------------------------------- Primary Location New York New York United States
• ----------------------------------------------------- Primary Location Full Time Salary Range $175,000.00 - $250,000.00 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 Feb 05, 2025
• ----------------------------------------------------- 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. Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi. View the "EEO is the Law" poster. View the EEO is the Law Supplement. View the EEO Policy Statement. View the Pay Transparency Posting Apply To this Job