What are the responsibilities and job description for the Quantitative Analyst position at CITI?
Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location.
DUTIES: Write new or extend existing quantitative pricing models and test mathematical specifications of credit contingent financial instruments for credit default Swaps, bonds, credit contingent options, defaultable swaps, callable bonds, etc. Prepare and submit model documentation for validation. Add changes / tests to Ongoing Performance documentation framework. Implement new or improve existing pricing models in the credit analytics library using C . Collaborate with Technology in rolling out credit analytics, testing the improvements implemented in credit analytics and analyzing the results pre-production rollout. Integrate Xing Framework in analytics, collaborate with front office Multi Asset Risk System (MARS) application team on onboarding production trades onto Xing infrastructure. Provide quantitative analysis of production trades for Risk and Financial Controllers. Run stress tests on existing and new structures and provide analysis for traders. Provide daily support and analysis on P&L (Profit and loss), risk, and PAA (P&L Attribution Analysis). Design, implement, test, rollout and maintain tools for GSP's market-making activities. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols
REQUIREMENTS: Bachelor's degree, or foreign equivalent, in Mathematics, Finance, Physics, or a related field, and six (6) years of experience in the job offered or in a related quantitative occupation. Six (6) years of experience must include: Conducting data analysis including correlations, volatilities and stressed volatilities studies, regression analysis, outlier detection, and backfilling; Working with stochastic processes and standard statistical theories and applications to develop analytical and simulation-based methodologies for predicting stress loss for market risk and counterparty credit risk; Using python statistical coding software to build and test prediction models for stress losses and other risk metrics based on Monte-Carlo simulation method and advanced sampling techniques; Using advanced mathematical skills to assess model performance for risk metrics including VaR and EDS; Participating in model development or validation process including model documentation, performance analysis, obtaining approval from model validation, and maintaining model through ongoing performance analysis and annual model reviews; Providing support for model implementation, production processes, and system integration; Working with Linux system and industry standard code management protocols and tools and collaborating to build end-to-end infrastructure for risk metric calculation in production environment. In the alternative, Employer will accept a Master’s degree and four (4) years of experience. Employer will accept pre- or post- Master’s degree experience. Employer will accept a PhD and one (1) year of experience. Employer will accept pre- or post-PhD degree experience. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26941692. EO Employer.
Wage Range: $200,000.00 to $250,000.00
Job Family Group: Institutional Trading
Job Family: Quantitative Analysis
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Time Type:
Full time------------------------------------------------------
Primary Location:
New York New York United States------------------------------------------------------
Primary Location Full Time Salary Range:
In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.
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Most Relevant Skills
Please see the requirements listed above.------------------------------------------------------
Other Relevant Skills
For complementary skills, please see above and/or contact the recruiter.------------------------------------------------------
Anticipated Posting Close Date:
May 05, 2026------------------------------------------------------
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Salary : $200,000 - $250,000