Senior Quantitative Analyst AVP - Pricing & Risk

Citibank (Hong Kong) Limited; Hong Kong; On-site; HKD 900,000 - 1,300,000; Full time

Job summary

Citibank (Hong Kong) Limited is seeking a seasoned Quantitative Analyst to build analytics libraries for pricing and risk management. You will develop models using C++, Python, and SQL, including Monte Carlo methods and PDE solvers, and work closely with Traders, Structurers and technology professionals.

The role requires 5-8 years in a quantitative analytics function in finance, strong programming and communication skills, and a focus on governance and risk controls across Legal, Compliance and

Qualifications

• 5-8 years of experience in a comparable quantitative modeling or analytics role in finance.
• Must have technical/programming skills: C# .Net, SQL and C++ exposure to market data; statistics and probability based calculations.
• Strong written and verbal communication skills.

Responsibilities

• Develop analytics libraries used for pricing and risk-management.
• Create, implement, and support quantitative models for the trading business using C++, C#, .NET, Java, Python and related tools.
• Develop pricing models using numerical techniques for valuation including Monte Carlo methods and PDE solvers.
• Collaborate with Traders, Structurers, and technology professionals.
• Ensure governance and control infrastructure in partnership with Legal, Compliance, Risk, Audit, and Finance.

Skills

C# & .NET

C++

SQL

Python

Statistics & Probability

Education

Bachelor's degree

Tools

SQL

C++ STL

KDB

Python

Java

Job description

Citibank (Hong Kong) Limited is seeking a seasoned Quantitative Analyst to build analytics libraries for pricing and risk management. You will develop models using C++, Python, and SQL, including Monte Carlo methods and PDE solvers, and work closely with Traders, Structurers and technology professionals.

The role requires 5-8 years in a quantitative analytics function in finance, strong programming and communication skills, and a focus on governance and risk controls across Legal, Compliance and