Quantitative Analyst - Initial Margin, Vice President

Citi Handlowy

New York, New York, United States
Base: $175,000.00 - $250,000.00; bonus/equity: dis...
Hybrid
Quantitative modeling for otc derivatives
Programming in c++, python, and r
Risk modeling and market risk frameworks
This role offers the opportunity to shape model design, influence trading decisions, and contribute to the stability and competitiveness of Citi’s Markets franchise

Job Summary

  • This role offers the opportunity to shape model design, influence trading decisions, and contribute to the stability and competitiveness of Citi’s Markets franchise.
  • By joining Citi in New York, you will become part of a global institution committed to fostering an inclusive, diverse, and collaborative workplace.
  • Citi offers competitive compensation, comprehensive benefits, hybrid work arrangements, and extensive professional development resources.

Matching Summary

This role offers the opportunity to shape model design, influence trading decisions, and contribute to the stability and competitiveness of Citi’s Markets franchise.

Salary

Base: $175,000.00 - $250,000.00; Bonus/Equity: discretionary and formulaic incentive and retention awards; Benefits: medical, dental & vision coverage, 401(k), life, accident, disability insurance, wellness programs, paid time off

Skills & Requirements

Must-have

  • quantitative modeling for OTC derivatives
  • programming in C++, Python, and R
  • risk modeling and market risk frameworks
  • initial margin calculation and optimization
  • model performance testing frameworks

Nice-to-have

  • strong analytical and quantitative skills
  • excellent verbal and written communication
  • ability to simplify complex quantitative concepts
  • operate in fast-paced regulatory environment
  • collaborative and inclusive workplace culture

Key Requirements

  • postgraduate degree in quantitative discipline
  • extensive experience in OTC derivatives pricing
  • expertise in statistics and Extreme Value Theory
  • experience with regulatory market structure
  • excellent communication skills

Work Rights

Not specified

Tailored Resume

Cover Letter