Citigroup Global Markets Inc. seeks to calculate itemized attribution of Risk Weighted Asset (RWA), G-SIB score, and return on Tangible Common Equity (TCE) for the Fixed Income Finance business, and develop tools and strategies to analyze and optimize these risk and performance metrics.
Requirements
- Calculating Risk Weighted Asset and Global Systemically Important Bank score.
- Calculating return on Tangible Common Equity for the Fixed Income Finance business.
- Applying statistical methods including linear programing and time series analysis to build mathematical optimizers and predictive models.
- Convex Optimization, Monte-Carlo methods, Bayesian estimation, Stochastic modeling, Local Volatility model and its variations.
- Developing multi-asset derivative pricing model, risk assessment, and portfolio optimization using stochastic modeling, Monte Carlo techniques and linear programing optimization methods.
- Developing algorithmic trading system for fixed income securities.
- Python and Java Script to code on Windows and Linux systems.
Responsibilities
- 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 analyze and optimize these risk and performance metrics.
- Apply mathematical optimization methodologies to strategize balance sheet utilization, enhance liquidity, and reduce capital charges.
- Build auto pricing platform in Java for government security Repurchase Agreement (Repo) market RFQs.
- Design and develop automated system to perform pricing, market analysis, and risk management using Python, Java, SQL, KDB/Q, on Linux, Windows platforms, and distributed systems, for 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.
Other
- Engage in close collaboration with various stakeholders including Fixed Income Market Traders, Sales teams, Structurers, and technology professionals.
- Provide stakeholders with analytical support in order 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, Finance to ensure appropriate governance and control infrastructure.
- A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.
- Requires a Master’s degree, or foreign equivalent in Financial Engineering, Financial Mathematics, or related quantitative field and 4 years of experience as a Quantitative Analyst, Fixed Income Finance Quantitative Analyst, Quantitative Analysis Program Analyst or related position.
