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Fixed Income Finance Quantitative Analyst
Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.
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We are seeking an AVP (assistant vice president) or VP-level quant to join a newly formed Fixed Income Finance quant team within the Markets Quantitative Analysis (MQA) group, located in London.
The ideal candidate should have 3-5 years of experience in Fixed Income Finance or a relevant area (such as Prime Brokerage in Equities, Treasury division, Swaps, or other Fixed Income desks with some financing needs). The candidate also needs to be very familiar with at least one major programming language as the role is very technical.
The Quantitative Analyst is a strategic professional who closely follows latest trends in own field and adapts them for application within own job and the business. Strong commercial awareness is a necessity. Excellent communication skills required in order to negotiate internally, often at a senior level. Some external communication is typically required.
The candidate needs to conduct an in-depth quantitative or qualitative analysis to solve problems and develop new, innovative solutions. Also, the candidate will play an important role in building a new python library and develop new analytics to address the quantitative needs of the Fixed Income Finance business.
Responsibilities:
- Develop analytical libraries used for pricing and risk-management Develop optimization tools for calculating optimal balance sheet, liquidity and capital charges
- Create, implement, and support quantitative models for the trading business leveraging a wide variety of mathematical and computer science methods and tools including, mathematical finance, statistics and probability and software engineering
- Have solid coding skills and be comfortable spending hours coding and debugging code. Preferred languages include Python, C++ and Java, but Scala, Slang, and other more-modern languages will be considered.
- Be familiar with how databases work and comfortable writing SQL queries
- Collaborate closely with Traders, Structurers, and technology professionals
- Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance in order to ensure appropriate governance and control infrastructure
- Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services
- Adhere to all policies and procedures as defined by your role which will be communicated to you
- Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe
- Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.
Qualifications:
- Experience in a comparable quantitative modeling or analytics role, ideally in the financial sector
- Must have technical/programming skills; Python/Java/C++/SQL; statistics and probability based calculations; using probability theory to evaluate the risks of complex financial instruments, solve analytical equations and design numerical schemes to analyze complex contracts; and software design and principles
- Must also possess a certain level of knowledge of fixed income products
- Consistently demonstrates clear and concise written and verbal communication skills
Education:
- Bachelor’s degree at an accredited university; Master’s or PhD degree preferred; Educational background in mathematics, financial engineering, computer science, physics or an equivalent science-oriented field.
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
Business Information:
Citigroup’s Fixed Income Finance Desk is one of the leading dealers in the industry with a global presence. The Desk is based in New York, London, Paris, Hong Kong, Sydney and Tokyo. In all these locations, the Desk performs both Firm Financing and Client Financing. The Desk executes its short-term cash market making responsibilities in New York for U.S. debt, London for U.K debt and Tokyo for Japanese debt. The Desk’s activity falls into three categories: Firm Financing, Client Financing (Market Making) and trading in certain short-term sovereign bonds (Market Making). Firm Financing and Client Financing activity spans the universe of fixed income securities in which Citi is a market maker. This includes securities such as G10 sovereign, supranational and agency debt; global corporate debt and emerging market debt; a wide variety of global asset-backed securities including MBS, consumer ABS, CLOs and CDOs; and related ETFs (“Fixed Income ETFs”). Both Firm Financing and Client Financing activity may also be executed synthetically through Total Return Swaps (“TRS”) and Forwards.
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Job Family Group:
Institutional Trading-------------------------------------------------
Job Family:
Quantitative Analysis------------------------------------------------------
Time Type:
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