CAIA's Career Center is an easy-to-use, comprehensive resource connecting job seekers with employers in the growing AI field. Use your knowledge and credibility to advance your career or build a talented team for your organization. Opportunities targeted to CAIA Charterholders are prioritized.
In order to search for jobs specifically for CAIA Charterholders or those pursuing the CAIA Charter please enter “CAIA” in the search panel.
This will enable you to search for CAIA specific roles globally.
CITI Quantitative Analyst Competitive Salary Offered
Job Purpose/Key responsibilities:
We are looking for a Quantitative Analyst to join the Credit Quant Team, within the Markets Quantitative Analysis (MQA) department, to support the Credit Business in London.
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 Credit Quantitative Analysis team is a global team of quants located on three trading floors worldwide: in London, New York and Hong Kong. The team's mandate is to provide quantitative support for the trading and structuring teams in Credit 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 have a better understanding of risk and P and L and add value to the business.
Key Responsibilities include:
Implementation of pricing and risk models in the C++ Front-Office Analytics library
Building tools for P and L, hedging analysis, stress-testing in Excel/ Python
Working on the various Regulatory projects impacting the business, including: Model Risk, CCAR, PAA ...
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 ...
Development of quantitative investment strategies for the credit business
Working on day-to-day support processes for the business
FSA : Does this role require PRA/FSA registration? No
Experience in numerical analysis, Monte-Carlo methods, probability and stochastic calculus
Knowledge of Credit markets
Knowledge of Fixed income modelling
Fluency in mathematical finance and statistical analysis
Experience in programming using C++ and Python
PhD or MSc in Mathematics, Physics, Engineering, Finance or Economics
Good verbal and written communication skills
Ability to work in a team and to work well under pressure in a Front-Office environment
Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.
Valuing Diversity: 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 Closing Date: September 17, 2019
Internal Number: 6500657
eFinancialCareers is a career site specializing in financial services.