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Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.
(more about Citi)Equity Exotics Trader
Citibank, N.A. seeks an Equity Exotics Trader for its New York, NY location.
Duties: Design, price, trade, and risk manage complex equity derivative structures. Work closely with sales, structuring, and quantitative teams. Control functions. Responsible for reporting and reconciling daily P&L and risks. Utilize statistics, stochastic calculus, and programming techniques including VBA, SQL, C++, Excel, Python, and C# to build risk management tools. Liaise with other traders and IT teams for construction of computerized tools to evaluate and develop new pricing models and improve operational efficiency and automation of trading business. Help ensure best execution for clients across a range of vanilla and more complex derivatives. Participate in desk recruiting efforts. Perform Equity Derivative Product modeling and pricing. Understand various products of equity derivatives and their dynamics throughout their lives in different market environments. Evaluate fair values as well as market prices of the exotic derivative structure, such as exotic options and structured variance swaps, using appropriate analytical or Monte Carlo simulation models. Identify and determine the pertinent models, parameters, and assumptions in pricing, calibrated based on observable market instruments Risk Management/Portfolio Hedging. Hedge various option risk greeks, including delta, gamma, vega, and dv01 on a daily basis to manage the sensitivity to underlying price, volatility, as well as interest rates. Keenly monitor, anticipate, and take conscious actions on the development of risks through different market moves. Study the attribution of the risk into profit and loss of the portfolio and position to maximize expected profits while minimizing contingent losses Optimization/Automation. Organize, carry out, and automate the routine tasks required as part of beginning and end of the day procedures. Optimize and automate various procedures and desk initiatives to maximize efficiency via Excel/VBA and Python programming. Remote work may be permitted within a commutable distance from the worksite, in accordance with Citi policy.
Requirements: Requires a Master’s degree, or foreign equivalent, in Financial Engineering, Finance, Statistics, Mathematics, or a related field, and four (4) years of experience in the job offered or in a related occupation. Four (4) years of experience must include: Financial mathematics, stochastic calculus, and related fields to understand and utilize derivative pricing models; Utilizing Excel to build tools for risk management; Performing market analysis; Applying financial engineering and stochastic mathematics to properly model and evaluate various financial derivatives; and exotic options and structured variance product pricing. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/ or by email to Citigroup Recruiting Dept. at NAMobilityRecruitment@citi.com. Please reference Job ID#23697839. EO Employer. This position is eligible for incentives pursuant to Citigroup’s Employee Referral Program.
Wage Range: $250,000.00 to $250,000.00
Job Family Group: Institutional Trading
Job Family: Trading
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Primary Location:
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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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