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This role is focused on the Quant Development (QD) side of the Rates Quant team. The QDs in this team focus on tools, library architecture, testing and releases in addition to any development work with some focus on mathematical modeling. Many of the tools and framework development will be shared by other asset classes so a collaborative focus is essential.
The business is subject to increasingly strict demands from regulators, in particular with respect to model testing. Investment is necessary to support these new regulatory requirements and Citi's strategic initiative to unify tools and processes across every asset class.
Working as part of a team as well as on an individual basis
Testing and reporting framework development including tools
Library development on Windows and Linux
Library re-architecting (under direction) including analytical code
Library extensions and enhancements as dictated by the trading desks
Liaising with quant groups in other asset classes
Communication across all asset classes, IT and the trading desks
Opportunity to contribute to the development and refactoring of a C++ Rates analytics library and to support the business to help meet regulatory objectives.
Exposure to analytics and users across IT, Risk, Structuring and Trading.
Good relevant degree (E.g. Computer Science, Maths, Engineering, Physics).
With extensive years in a technical environment
Strong Python and C++ essential.
Ability to focus on major projects, and deliver promptly, whilst juggling the day to day requirements that come up. Ability to clearly communicate progress and importance of projects to non-technical clients of the Library.
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organisational success.
Citi is an Equal Opportunities Employer
Internal Number: 5856904
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