Quantitative Analyst – Linear Rates Quants, VP

Are you looking for a career move that will put you at the heart of a global financial institution? Then bring your skills Interest Rates modelling, problem solving and communication with Front Office business clients to Linear Rates Quants team.

By Joining Citi, you will become part of a global organisation whose mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress.

Team/Role Overview:

Linear Rates Quants team is a global team with presence in New York/London/Tokyo/Singapore/Mexico City/Budapest and supporting business clients around the globe both in Developed and Emerging Markets. This is an established team within the Markets Quantitative Analysis organisation. The team builds pricing models for a wide range of Flow Interest Rate products, as well as data analysis tools for business users and fundamental yield curve models used across the bank by all asset classes.

What you will do:

• The role will establish the Interest Rates Quants presence in the Paris office
• Work with the Rates Flow traders to help them with usage of Quant models
• Communicate with business stakeholders on both daily support issues and strategic projects
• Collaborate with team members in other locations on new model development and model enhancements
• Interact with Quant teams in other asset classes on cross-asset initiatives

What we’ll need from you:

• Experience with Flow Interest Rates products: sovereign bonds, swaps and basis swaps, FX and exchange traded products  
• Working knowledge of yield curve construction, especially in the multi-index context
• Modelling the impact of various basis effects on Interest Rates products valuation: OIS and tenor basis, cross-currency basis, clearing house and bilateral basis
• Proficient in C++ and python
• Data analysis, optimization, statistics and numerical methods skills are a plus
• Excellent presentation and communication skills
• PhD or Masters

What we can offer you

This is a role that will provide the opportunity to be the face of the global Rates Quants team in front of the business users in the Paris location. You’ll work directly with the trading desks on their daily business challenges and build in-depth knowledge of Rates operations in Citi’s global business.

By joining Citi Paris, you will not only be part of a business casual workplace with a hybrid working model (up to 2 days working at home per week), but also receive a competitive base salary (which is annually reviewed) and enjoy a whole host of additional benefits that support you (and your family) to be well, live well and save well.

Alongside these benefits Citi is committed to ensuring our workplace is where everyone feels comfortable coming to work as their whole self every day.  We want the best talent around the world to be energized to join us, motivated to stay, and empowered to thrive. 

Sounds like Citi has everything you need? Then apply to discover the true extent of your capabilities.

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Citi is an equal opportunity and affirmative action employer.

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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