Systematic Quantitative Analyst

Citibank (Switzerland) AG; New York (NY); Hybrid; Confidential; Full time

Benefits offered by this job

Hybrid work arrangement

Job summary

Citigroup Global Markets Inc. seeks a Systematic Quantitative Analyst - Director in New York, NY to build live pricing and execution algorithms for fixed-income products and to develop automated quantitative strategies used by trading professionals.

The role involves calibrating predictors, maintaining pricing infrastructure and collaborating with Traders, Structurers, and technology teams. A hybrid work model may be allowed within a commutable distance from the office.

Qualifications

• Master’s degree in Operations Research, Financial Engineering or related field; 5 years of experience in quantitative analysis or 7 years with a Bachelor’s degree.
• Experience calibrating and assessing predictors; maintaining infrastructure for pricing, hedging and prediction.
• Proficiency in data science libraries, Python, C++, and numerical methods.

Responsibilities

• Build live pricing and trade execution algorithms for fixed-income instruments.
• Develop yield curves and pricing models for bonds, swaps, FRAs, and other products.
• Back-test and simulate models; create performance reports for monitoring accuracy.
• Collaborate with Traders, Structurers and tech teams to deploy analytics in production.

Skills

C++ STL

C#

Java

Python

SQL

kdb

Monte Carlo methods

Education

Master's degree in OR/Financial Engineering

Tools

kdb

SQL

Job description

## Systematic Quantitative AnalystApplyremote type: Hybridlocations: New York New York United Statestime type: Full timeposted on: Posted Todaytime left to apply: End Date: August 26, 2026 (30+ days left to apply)job requisition id: 26976139Citigroup Global Markets Inc. seeks a Systematic Quantitative Analyst - Director for its New York, New York location.Duties: Build algorithms for the live pricing of fixed income instruments. Build trade execution algorithms. Develop automated and semi-automated quantitative strategies used by trading professionals to price and quote fixed-income instruments for clients. Build configure and use yield curves to price fixed-income instruments such as bonds, swaps, futures, forward rate agreements (FRAs). Assess the performance of the above models by running back-tests and simulations, and create reports to monitor ongoing performance. Research, implement and maintain predictors for various financial quantities involved in trading (prices, volumes, volatility, bid-ask spreads). Calibrate and assess the quality of in-house built and third-party statistical and machine-learning predictors. Develop success metrics for predictors and implement reports for monitoring their performance. Build and implement models and algorithms to hedge portfolios of fixed-income instruments and to analyze risk. Develop and maintain infrastructure for researching and executing pricing, hedging and prediction algorithms. Specify algorithmic pricing and trading infrastructure needs. Rationalize and clean-up existing codebases for algorithmic trading and pricing. Develop quantitative 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, C++ including STL, C#, .NET, Java, object-oriented software design, Python, kdb, Structured Query Language (SQL), mathematical finance/ programming and statistics and probability. Develop quantitative pricing models using numerical techniques for valuation, including Monte Carlo Methods and partial differential equation solvers. Collaborate closely with Traders, Structurers, and technology professionals. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.Requirements: Requires a Master’s degree, or foreign equivalent, in Operations Research, Financial Engineering or related field and 5 years of experience as a Quantitative Analyst, Quantitative Trading Analyst or related position developing real time pricing and trade execution algorithms for fixed-income instruments at a financial services institution. Alternatively, employer will accept a Bachelor’s degree in the stated fields and 7 years of the specified progressively responsible, post-baccalaureate experience. Full span of experience must include: Calibrating and assessing statistical and machine-learning predictors; Maintaining infrastructure for pricing, hedging and prediction algorithms; Developing core analytical capabilities and Data-science/machine-learning libraries; Hardware acceleration, advanced calculus, performance-oriented programming languages, object-oriented software design, Python, kdb, SQL, mathematical finance/ programming, and statistics / probability concepts including Monte Carlo Methods and partial differential equation solvers; Developing yield curves to price fixed-income instruments including bonds, swaps, futures, forward rate agreements (FRAs); and Algorithmic market making including market microstructure. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26976139. EO Employer.