Commodities Quantitative Analyst -VP

Commodities Quantitative Analyst -VP

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Job Purpose/Key responsibilities:

We are looking for a Quantitative Analyst to join the Global Commodities Quant Team, within the Markets Quantitative Analysis (MQA) group, to support the North American power and gas business in Houston,

Markets Quantitative Analysis (MQA) is part of the Global Markets business and has responsibility for providing the analytical models which are used for pricing securities and risk managing the Firm’s positions throughout the Markets’ businesses. The scope of this work extends from the research into the mathematical derivation of the model, through the coding, testing, and documentation of the model for formal validation signoff, and finally to delivering the model both to the desktop and to Technology for incorporation into the Firm’s books and records systems.

The Commodities Quantitative Analysis team is a global team of quants located on three trading floors worldwide: in London, Houston and Singapore. The team’s mandate is to provide quantitative support for the trading, structuring and origination teams in Global Commodities Markets. The main focus of the group includes: pricing methodologies, hedging strategies, risk management and analytics development. The quantitative analysts work closely with trading, structuring, IT, risk management, finance and other control functions to develop a better understanding of Risk and P&L and add value to the business.

Key Responsibilities include:

- Supporting our North American power and gas desks

- Development of pricing, calibration and hedging methodologies for commodities transactions, both flow and structured products

- Implementation of pricing and risk models in the Front-Office Analytics library

- Development of quantitative investment strategies for the power and gas business

- Building desk tools for P&L, hedging analysis, stress-testing in  Python /Excel

-  Development and maintenance of the in-house C++ analytics library

- Work on general efficiency improvements and optimization of the library, including: performance, memory management, GPUs, multi-threading …

- Working on day-to-day support processes for the business

- Working on the various Regulatory projects impacting the business, including: Model Risk, CCAR, PAA …

The ideal candidate for this position will have some experience of structured transactions in power and gas space, have worked on a major analytics library, and experience working on a trading floor.


Job Family Group:

Institutional Trading


Job Family:

Quantitative Analysis


Time Type:

Full time


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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.