Quantitative Analyst - Interest Rate Derivatives, Avp

Citi

Base: €125,000.00 - €150,000.00; bonus/equity: not...
Interest rate derivatives expertise
Pricing model development
Quantitative modelling
Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives

Job Summary

  • Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives.
  • Create, implement, and support quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools.
  • Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, and Finance to ensure appropriate governance and control infrastructure.

Matching Summary

Develop and enhance analytics libraries used for pricing and risk management of Interest Rate Derivatives.

Salary

Base: €125,000.00 - €150,000.00; Bonus/Equity: Not specified; Benefits: Not specified

Skills & Requirements

Must-have

  • Interest Rate Derivatives expertise
  • pricing model development
  • quantitative modelling
  • C++ and Python programming
  • advanced numerical techniques

Nice-to-have

  • responsible finance culture
  • good governance and supervision
  • ethics and sound judgment
  • hardware acceleration potential

Key Requirements

  • Master's or PhD degree
  • Comparable quantitative modelling experience
  • Expertise with standard rates models and products
  • Proficiency in statistics and probability
  • Strong understanding of software design

Work Rights

Not specified

Tailored Resume

Cover Letter