Quantitative Analyst - Commodities, VP

Citi; Greater London; On-site; GBP 90,000 - 150,000; Full time

Job summary

Citi is seeking a Quantitative Analyst to join the front office Commodities Quant team in London. You will develop analytics libraries and quantitative models for pricing and risk management across Oil, Power and Gas, Metals, and related products.

You will leverage C++, Python, and JavaScript/React, applying Monte Carlo and PDE techniques, and collaborate closely with Traders and IT to ensure robust governance and control frameworks.

Qualifications

• Experience in a quantitative modelling or analytics role in finance.
• Strong programming skills; exposure to market data and statistical methods.
• Advanced degree or equivalent in a quantitative field.

Responsibilities

• Develop analytics libraries for pricing and risk management.
• Create and support quantitative models for trading using advanced math and computing methods.
• Develop pricing models using numerical techniques including Monte Carlo methods and PDE solvers.
• Collaborate with Traders, Structurers, and technology professionals.
• Ensure governance and control infrastructure in partnership with risk and control functions.
• Assess risk-reward of transactions and uphold Citi's policies and ethics.

Skills

Programming

Market Data

Statistics

Probability

Software design

Education

Masters/PhD or equivalent

Tools

C++

Python

JavaScript

React

Job description

Team/Role Overview

The Market Quantitative Analysis (MQA) team is looking for a Quantitative Analyst to join the front office Commodities Quant team in London. The business covers the key commodities areas, including Oil, EMEA and NAM Power and Gas, Metals, Agriculturals, Investor Products and Exotics as well as CVA, with main trading arms in London, Houston and New York.

Our role in MQA is to develop and support the modelling and analytics needs of the business, which involves close work and co-ordination with the respective trading desks and functions, as well as our partners in IT and the various control functions.

We use a variety of modelling and pricing techniques to capture and analyse the wide variety of dynamics found in the Commodities markets, as well as developing cutting edge solutions to allow the business to grow and adapt through changing market conditions.

What you'll do

• Develop analytics libraries used for pricing and risk-management
• Create, 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 probability
• Develop pricing models using numerical techniques for valuation including Monte Carlo Methods and partial differential equation solvers
• Collaborate closely with Traders, Structurers, and technology professionals
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
• Appropriately 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 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
• Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe
• Appropriately 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 judgment regarding personal behavior, 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 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
• Must also possess any level of product knowledge, Investments and Quantitative Methods
• Consistently demonstrates clear and concise written and verbal communication skills
• Masters/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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