Quantitative Analyst - In-Business Risk Team - VP, New York

Citi; New York (NY); On-site; USD 175,000 - 250,000; Full time

Job summary

The front office Market Quantitative Analysis (MQA) team at Citi seeks a quantitative analyst for In-Business Risk in Equities. You will work with traders and in-business risk managers to manage market risk metrics and capital.

Responsibilities include building advanced analytical tools (including AI-powered apps), diagnosing risk models, guiding prioritization with traders, and improving equity pricing models.

Qualifications

• 6–10 years in quantitative modelling in finance with equities pricing knowledge.
• Strong Python programming and code development using Git/Bitbucket.
• Experience with SQL, large datasets, and data cleaning in Python (pandas/numpy).
• Familiarity with front-end tools (Angular) and visualization (Tableau) a plus.

Responsibilities

• Build advanced analytical tools and AI-powered apps to assess market risk and capital.
• Diagnose market risk models, partner with traders and risk teams to drive enhancements.
• Provide cost-benefit analysis to guide business prioritization and direction.
• Collaborate with equities quant teams to improve pricing models and risk metrics.
• Develop well-structured code and contribute to in-house Python libraries.
• Serve as the equities subject matter expert and educate the team on equity pricing.
• Stay current on GenAI/ML advances to bolster business support.

Skills

Python

SQL

Git/Bitbucket

Angular

Tableau

VaR

Stress testing

Pricing models

Stochastic calculus

Equities domain

Education

PhD or Master’s in a technical field

Job description

MQA In-Business Risk Team

The front office Market Quantitative Analysis (MQA) is looking for a quantitative analyst in the In-Business Market Risk MQA team, focusing on Equities, working along with trading and in-business risk managers in managing market risk metrics and capital.

Responsibilities:

Some key responsibilities include:

• Build advanced analytical tools and applications including AI powered apps, for the business and traders’ use to assess market risk, stress loss and capital metrics, and to develop efficient portfolio level hedge strategies.
• Perform in-depth diagnosis of the current market risk and capital models and processes, partner with the business and other quant teams to propose and drive enhancement.
• Partner with traders, provide cost-benefit analysis to help on business prioritization, guidance and direction.
• Liaise with Equities asset class quant teams to improve existing pricing models, and strengthen the process used for calculating risk metrics and valuation.
• Develop well-structured high-quality code and contribute to large-scale in-house python libraries.
• Be the Equities SME in the team. Educate the team in equity products, pricing models, and relevant math.
• Stay attuned to recent GenAI/ML advances, harnessing their power to bolster business support and analysis.

Qualifications:

• 6-10 years of experience in quantitative modeling in the financial industry. Must possess in-depth pricing model knowledge in Equities. Previous experience in developing and using stochastic calculus and pricing models to evaluate risks of complex financial instruments.
• Must have strong technical/programming skills in python. Experience in collaborative code development through use of Git/Bitbucket and similar platforms. Familiar with software development principles. Able to design, structure, and modularize complicated program.
• Familiar with SQL, and experience working with large dataset. Skilled in data cleaning, transformation, and processing using Python libraries such as pandas and numpy.
• Proficiency in delivering solutions using front-end frameworks like Angular and visualization tools like Tableau is a plus.
• Understanding of commonly used market risk metrics and method such as VaR, stress testing.
• Clear and concise written and verbal communication skills.

Education:

• A PhD or Master’s degree in a technical discipline such as statistics, mathematics, physics, computer science, quantitative finance, operations research or similar.

This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.

Job Family Group:

Institutional Trading

Job Family:

Quantitative Analysis

Time Type:

Full time

Primary Location:

New York New York United States

Primary Location Full Time Salary Range:

$175,000.00 - $250,000.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

Anticipated Posting Close Date:

Feb 05, 2025

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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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