Quantitative Analyst, Markets Treasury & Financing , VP

Citigroup Inc.; City Of London; On-site; GBP 90,000 - 120,000; Full time

Job summary

A leading global financial institution is seeking a highly skilled Quantitative Analyst at the VP level in London. The role involves applying advanced quantitative skills to optimize key risk and performance metrics in the Fixed Income Finance business. The ideal candidate will have a Master's degree in a relevant quantitative field and strong programming skills in Python and JavaScript. This position offers significant career growth opportunities within a dynamic and collaborative environment.

Benefits

Career growth opportunities

Collaborative work environment

Qualifications

• Master's degree or foreign equivalent in a quantitative field.
• Experience performing quantitative statistical modelling.
• Strong coding skills in Python and JavaScript.

Responsibilities

• Calculate RWA, G-SIB score, and TCE for Fixed Income Finance.
• Develop tools to optimize risk and performance metrics.
• Build automated systems for pricing and risk management.

Skills

Quantitative statistical modelling

Mathematical optimization

Programming in Python

Full-stack development

Statistical methods

SQL querying

Education

Master’s degree in Financial Engineering

Tools

Python

JavaScript

SQL

KDB/Q

Java

Job description

Overview

Citi is seeking a highly skilled and strategic Quantitative Analyst at the VP level to join its team in London. This role offers a unique opportunity to apply advanced quantitative skills to critical aspects of the Markets Treasury & Financing business, including RWA optimization, G-SIB score analysis, and return on Tangible Common Equity (TCE) attribution. You will be instrumental in developing cutting-edge tools and strategies to analyse and optimize key risk and performance metrics across developed and emerging markets (covering close to 80 countries), leveraging your expertise in mathematical optimization, advanced programming, and full-stack development.

Team/Role Overview

As a Quantitative Analyst within Markets Treasury & Financing, you will be at the heart of developing and implementing innovative solutions to support and enhance the business\'s performance and risk management. This role involves a deep dive into capital charges, balance sheet utilization, and liquidity management. You will work within a dynamic environment, collaborating closely with Fixed Income Market Traders, Sales teams, Structurers, and technology professionals. Your contributions will directly impact strategic decision-making and operational efficiency through the creation of advanced analytics, optimization tools, and robust automated platforms.

What You\'ll Do

• Calculate itemized attribution of Risk Weighted Asset (RWA), G-SIB score, and return on Tangible Common Equity (TCE) for the Fixed Income Finance business.
• Develop tools and strategies to analyse and optimize these critical risk and performance metrics.
• Apply mathematical optimization methodologies to strategize balance sheet utilization, enhance liquidity, and reduce capital charges.
• Build an auto-pricing platform in Java for government security Repo market RFQs (Request for Quotes).
• Use Generative AI to develop cutting-edge Trading Assistants
• Design and develop automated systems to perform pricing, market analysis, and risk management using Python, Java, SQL, KDB/Q, on Linux, Windows platforms, and distributed systems, for the Fixed Income Finance business.
• Design and implement a full-stack system with Python and JavaScript to provide a customized, interactive front-end user interface for trading analytics requirements in the Fixed Income Finance business.
• Create, implement, and support quantitative models for the Fixed Income trading business, leveraging mathematical and computer science methods including mathematical finance, statistics, probability, and software engineering.
• Design database structures and write SQL and KDB queries for data manipulation and retrieval, including creating, updating, and optimizing database schemas, performing CRUD operations, and implementing stored procedures and functions to ensure efficient data processing and integrity.
• Engage in close collaboration with various stakeholders, including Fixed Income Market Traders, Sales teams, Structurers, and technology professionals.
• Provide stakeholders with analytical support to develop and implement effective solutions, and coordinate the deployment and integration of new features.
• Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance to ensure appropriate governance and control infrastructure.

What We\'ll Need From You

• Master’s degree, or foreign equivalent in Financial Engineering, Financial Mathematics, or a related quantitative field.
• Demonstrated experience performing quantitative statistical modelling and data analysis for calculating Risk Weighted Asset and Global Systemically Important Bank score.
• Proven ability to calculate return on Tangible Common Equity for the Fixed Income Finance business.
• Expertise in applying statistical methods, including linear programming and time series analysis, to build mathematical optimizers and predictive models.
• Proficiency in Convex Optimization, Monte-Carlo methods, Bayesian estimation, Stochastic modelling, Local Volatility model, and its variations.
• A track record of developing multi-asset derivative pricing models, risk assessment, and portfolio optimization using stochastic modelling, Monte Carlo techniques, and linear programming optimization methods.
• Experience in developing algorithmic trading systems for fixed income securities.
• Demonstrated ability to optimize capital charges and margin posting.
• Strong coding skills in Python and JavaScript for Windows and Linux systems.
• Proficiency in full-stack software development of scalable, modular, and robust solutions using parallel and distributed computing with object-oriented principles in Python and JavaScript.
• Experience developing front-end UI in JavaScript and API in Python.
• A proven understanding of quantitative model validation, including model risk assessment, performance testing, and stability / stress testing.
• Skill in writing SQL and KDB/Q queries for customized data retrieval with performance optimization techniques.
• Proficiency in Python, C++, JavaScript, and the Q language in KDB+ database.

What We Can Offer You

• Strategic Impact: Drive the analysis and optimization of critical firm-wide metrics such as RWA, G-SIB, and TCE for the Fixed Income Finance business.
• Advanced Quantitative Development: Apply and develop expertise in mathematical optimization, advanced statistical methods, and quantitative modelling for complex financial instruments.
• Full-Stack & Automated Solutions: Lead the design and implementation of automated systems and full-stack platforms, from pricing to interactive user interfaces.
• Diverse Technical Stack: Work with a wide array of cutting-edge technologies including Python, Java, JavaScript, C++, SQL, and KDB/Q on various platforms and distributed systems.
• Collaborative Environment: Engage in close collaboration with Fixed Income Market Traders, Sales teams, Structurers, and technology professionals, providing analytical support and driving solution deployment.
• Career Growth: This VP-level role offers significant opportunities for professional development and advancement within Citi\'s global quantitative analysis and Fixed Income Finance domains.

If you are a highly motivated Quantitative Analyst with strong technical skills and a passion for Fixed Income Finance, eager to drive innovation in a newly formed team, we encourage you to apply.

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