Markets Quantitative Analyst (Assistant Vice President)

Citi; Greater London; On-site; GBP 70,000 - 90,000; Full time

Benefits offered by this job

Generous holiday allowance starting at 27 days

Annual performance-related bonus

Private medical insurance packages

Employee Assistance Program

Pension Plan

Paid Parental Leave

Special discounts for employees

Access to learning and development resources

Job summary

Citi is seeking an AVP for the Equities MQA team in Greater London to enhance their risk management and modelling tools. This role involves developing analytics libraries for pricing and collaborating closely with quantitative analysts.

The ideal candidate will have strong skills in C++ and Python, along with experience in quantitative modelling. Citi offers a competitive salary, a hybrid working model, and generous benefits including 27 days of holiday and private medical insurance.

Qualifications

• Experience in quantitative modelling or development in finance.
• Strong programming skills in C++ and Python required.
• Clear written and verbal communication skills.

Responsibilities

• Develop analytics libraries for pricing and risk-management.
• Collaborate with quantitative analysis colleagues.
• Create and support quantitative models for XVA and OCM.

Skills

C++

Python

Mathematical finance

Statistics

Probability theory

Software design principles

Job description

Team/Role Overview:

Within the wider Markets QA team, the Equities MQA team is looking to fill an AVP position to support the XVA and OCM businesses. There’s a direct day‑to‑day collaboration with the business in addition to medium to long term projects related to improving our modelling and our risk management tools.

The team helps Citi manage the CVA risk to illiquid counterparties as well as Citi’s own DVA. There’s a direct day‑to‑day collaboration with the business in addition to medium to long term projects related to improving our modelling and our risk management tools.

What you’ll do:

• Develop analytics libraries used for pricing and risk‑management in the scope of CVA and DVA
• Collaborate closely with quantitative analysis colleagues and the desks
• Create, implement and support quantitative model for XVA and OCM businesses leveraging a wide variety of mathematical and computer science methods including advanced calculus, C++, object‑oriented design, Python, mathematical finance, statistics, probability and Machine Learning
• Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics
• Appropriately assess risk/reward of developments when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
• Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same
• Adhere to all policies and procedures as defined by your role which will be communicated to you
• Appropriately assess risk when business decisions are made, demonstrating consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behaviour, conduct and business practices, and escalating, managing and reporting control issues with transparency.

What we’ll need from you:

• Experience in a comparable quantitative modelling, development or analytics role, ideally in the financial sector
• Must have strong technical/programming skills; C++/python, Exposure to Market Data; Statistics and Probability based calculations; Using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and Software design and principles
• Must also possess any level of product knowledge, Investments and Quantitative Methods
• Consistently demonstrates clear and concise written and verbal communication skills

What we can offer you:

We work hard to have a positive financial and social impact on the communities we serve. In turn, we put our employees first and provide the best‑in‑class benefits they need to be well, live well and save well.

By joining Citi London, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed), and enjoy a whole host of additional benefits such as:

• Generous holiday allowance starting at 27 days plus bank holidays; increasing with tenure
• A discretional annual performance related bonus
• Private medical insurance packages to suit your personal circumstances
• Employee Assistance Program
• Pension Plan
• Paid Parental Leave
• Special discounts for employees, family, and friends
• Access to an array of learning and development resources

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day. We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive.

Job Family Group:

Institutional Trading

Job Family:

Quantitative Analysis

Time Type:

Full time

Most Relevant Skills:

Please see the requirements listed above.

Other Relevant Skills:

For complementary skills, please see above and/or contact the recruiter.

Equal Employment Opportunity:

Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

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.

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