Exotic Rates Quantitative Analyst Exotic Rates Quantitative Analyst …

Citi
in New York, NY
Permanent, Full time
Be the first to apply
Competitive
Citi
in New York, NY
Permanent, Full time
Be the first to apply
Competitive
Exotic Rates Quantitative Analyst
Responsibilities:
•Create, implement, and support quantitative evaluation models for the Exotic Rates trading business leveraging a wide variety of mathematical and numeric methods and tools including stochastic calculus, mathematical finance theory, Monte Carlo, PDE and optimization;
•Develop analytics libraries used for pricing and risk-management;
•Collaborate closely with Traders, Structurers, and technology professionals.
•Work in close partnership with control functions such as Market Risk, Model Validation Group, Audit, Finance in order to ensure appropriate governance and control infrastructure;
•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 time-frame.
Qualifications:
•Must have advanced mathematical background; Stochastic calculus, Statistics and Probability, Numeric Methods;
•Knowledge of risk-neutral pricing framework is considered as an advantage;
•Strong programming skills; C++ and Python are preferred;
•Consistently demonstrates clear and concise written and verbal communication skills
Education:
•Master's degree in quantitative area such as math, physics, or engineering, PhD is preferred.

Job Family Group:
Institutional Trading
Job Family:
Quantitative Analysis
Time Type:

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