Quantitative Analyst - Commodities, VP

Citigroup Inc.; City Of London; On-site; GBP 85,000 - 125,000; Full time

Job summary

Citigroup Inc. is seeking a quantitative analytics professional to develop libraries for pricing and risk management and to build pricing models using numerical methods including Monte Carlo techniques and PDE solvers.

You will work with Traders, Structurers and technology teams to deliver robust financial analytics. Responsibilities include governance with Legal, Compliance, Risk and Audit while ensuring proper risk assessment of transactions and adherence to Citi's conduct policies.

Qualifications

• Experience in a comparable quantitative modelling or analytics role, ideally in the financial sector.
• Must have technical/programming skills; 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
• Masters/PhD, or equivalent degree

Responsibilities

• Develop analytics libraries used for pricing and risk-management.
• Create, implement, and support quantitative models for the trading business leveraging C++, Python, JS React and statistics.
• Collaborate closely with Traders, Structurers, and technology professionals.
• Work with control functions to ensure governance and control infrastructure and compliance.
• Obtain and maintain registrations/licenses required for the role.

Skills

C++

Python

JavaScript

React

Statistics

Probability Theory

Numerical Methods

Monte Carlo

Education

Masters/PhD in related field

Tools

Git

Linux

HPC

Job description

doDevelop analytics libraries used for pricing and risk-managementCreate, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including hardware acceleration, advanced calculus, development including C++, Python, JavaScript React, mathematical finance/ programming and statistics and probabilityDevelop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solversCollaborate closely with Traders, Structurers, and technology professionalsWork in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructureAppropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm's 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 sameAdhere to all policies and procedures as defined by your role which will be communicated to youObtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframeAppropriately assess risk when business decisions are made, demonstrating particular 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 judgement regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.What we'll need from youExperience in a comparable quantitative modelling or analytics role, ideally in the financial sectorMust have technical/programming skills; 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 principlesMust also possess any level of product knowledge, Investments and Quantitative MethodsConsistently demonstrates clear and concise written and verbal communication skillsMasters/PhD, or equivalent degree

• Experience in a comparable quantitative modelling or analytics role, ideally in the financial sector
• Must have technical/programming skills; 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 principlesMust also possess any level of product knowledge, Investments and Quantitative MethodsConsistently demonstrates clear and concise written and verbal communication skillsMasters/PhD, or equivalent degree

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.

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