Citigroup Global Markets Inc. seeks a Quantitative Analyst, VP 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 to 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
- 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
- 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.
